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Existence of an optimal sampling frequency for LQ-controlled economic systems

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Operations Research ’93

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Abstract

In this paper we present sufficient conditions for the existence of an optimal frequency for sampling an economic system. We assume that the underlying economy is described by a linear continuous-time system containing an exogenous component, and that the policymakers want to minimize a social welfare function. This welfare function is a continuous-time quadratic tracking equation over an infinite planning horizon with positive semi-definite weighting matrices.

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References

  • Aström, K.J., Wittenmark, B., 1990, Computer Controlled Systems ( Englewood Cliffs, N.J., Prentice-Hall).

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  • Engwerda, J.C., 1990-a, The solution of the infinite horizon tracking problem for discrete-time systems possessing an exogenous component, Journal of Economic Dynamics and Control, Vol. 14, pp. 741–762.

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  • Engwerda, J.C., Willigenburg, L.G. van, 1992, LQ-control of sampled continuous-time system in: Strejc V. (ed.), Proceedings of the 2nd IFAC workshop on system structure and control, IFAC, Prague, Czechoslovakia, pp. 128–131.

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Author information

Authors and Affiliations

  1. Department of Econometrics, Tilburg University, P.O. Box 90153, 5000 LE, Tilburg, The Netherlands

    Jacob Engwerda

Authors
  1. Jacob Engwerda
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Editor information

Editors and Affiliations

  1. Mathematisches Institut, Universität zu Köln, Weyertal 80, D-50931, Köln, Germany

    Achim Bachem

  2. Lehrstuhl für Wirtschaftsinformatik, Universität zu Köln, Pohligstraße 1, D-50969, Köln, Germany

    Ulrich Derigs

  3. Institut für Informatik, Universität zu Köln, Pohligstraße 1, D-50969, Köln, Germany

    Michael Jünger  & Rainer Schrader  & 

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© 1994 Physica-Verlag Heidelberg

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Engwerda, J. (1994). Existence of an optimal sampling frequency for LQ-controlled economic systems. In: Bachem, A., Derigs, U., Jünger, M., Schrader, R. (eds) Operations Research ’93. Physica, Heidelberg. https://doi.org/10.1007/978-3-642-46955-8_39

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  • DOI: https://doi.org/10.1007/978-3-642-46955-8_39

  • Publisher Name: Physica, Heidelberg

  • Print ISBN: 978-3-7908-0794-3

  • Online ISBN: 978-3-642-46955-8

  • eBook Packages: Springer Book Archive

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