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System Dynamics Models, Optimization of

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Complex Systems in Finance and Econometrics

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Article Outline

Glossary

Definition of the Subject

Optimization as Calibration

Optimization of Performance (Policy Optimization)

Examples of SD Optimization Reported in the Literature

Future Directions

Bibliography

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Abbreviations

Econometrics :

A statistical approach to economic modeling in which all the parameters in the structural equations are estimated according to a ‘best fit’ to historical data.

Maximum likelihood :

A statistical concept which underpins calibration optimization and which generates the most likely parameter values; it is equivalent to the parameter set which minimizes the chi‐square value.

Objective function :

See Payoff below.

Optimization :

The process of improving a model's results in terms of either an aspect of its performance or by calibrating it to fit reported time series data.

Payoff :

A formula which expresses the objective, say, maximization of profits, minimization of costs or minimization of the differences between a model variable and historical data on that variable.

Zero-one parameter :

A parameter which is used as a multiplier in a policy equation and serves the effect of bringing in or removing a particular influence in determining the optimal policy.

Bibliography

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Author information

Authors and Affiliations

  1. Centre for OR & Applied Statistics, Salford Business School, University of Salford, Salford, UK

    Brian Dangerfield

Authors
  1. Brian Dangerfield
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Editor information

Editors and Affiliations

  1. RAMTECH LIMITED, 122 Escalle Lane, Larkspur, CA, 94939, USA

    Robert A. Meyers Ph. D. (Editor-in-Chief) (Editor-in-Chief)

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© 2009 Springer-Verlag

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Dangerfield, B. (2009). System Dynamics Models, Optimization of. In: Meyers, R. (eds) Complex Systems in Finance and Econometrics. Springer, New York, NY. https://doi.org/10.1007/978-1-4419-7701-4_44

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  • DOI: https://doi.org/10.1007/978-1-4419-7701-4_44

  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-1-4419-7700-7

  • Online ISBN: 978-1-4419-7701-4

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