Uncertainty factor in modeling dynamics of economic systems

Varshavsky L.E.
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Analysis and practical aspects of implementing developed in the control theory robust control methods in studying economic systems is carried out. The main emphasis is placed on studying results obtained for dynamical systems with structured uncertainty. Practical aspects of implementing such results in control of economic systems on the basis of dynamical models with uncertain parameters and perturbations (stabilization of price on the oil market and inflation in macroeconomic systems) are discussed. With the help of specially constructed aggregate model of oil price dynamics studied the problem of finding control which provides minimal deviation of price from desired levels over middle range period. The second real problem considered in the article consists in determination of stabilizing control providing minimal deviation of inflation from desired levels (on the basis of constructed aggregate macroeconomic model of the USA over middle range period).

Upper levels of parameters uncertainty and control laws guaranteeing stabilizability of the real considered economic systems have been found using the robust method of control with structured uncertainty. At the same time we have come to the conclusion that received estimates of parameters uncertainty upper levels are conservative. Monte-Carlo experiments carried out for the article made it possible to analyze dynamics of oil price and inflation under received limit levels of models parameters uncertainty and under implementing found robust control laws for the worst and the best scenarios. Results of these experiments show that received robust control laws may be successfully used under less stringent uncertainty constraints than it is guaranteed by sufficient conditions of stabilization.

Keywords: economic systems, stabilization, robust methods, uncertain parameters, structured uncertainty
Citation in English: Varshavsky L.E. Uncertainty factor in modeling dynamics of economic systems // Computer Research and Modeling, 2018, vol. 10, no. 2, pp. 261-276
Citation in English: Varshavsky L.E. Uncertainty factor in modeling dynamics of economic systems // Computer Research and Modeling, 2018, vol. 10, no. 2, pp. 261-276
DOI: 10.20537/2076-7633-2018-10-2-261-276
URL: http://crm-en.ics.org.ru/journal/article/2681/
Creative Commons License This work is licensed under a Creative Commons Attribution-NoDerivs 3.0 Unported License.
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