Abstract
This chapter discusses the parametric sensitivity analysis of a realistic concern model. Realistic optimal control problems from economics are solved by sophisticated direct or indirect methods in a fast and reliable way. The parametric sensitivity analysis has been adapted to the direct solution of optimal control processes. It uses the information gathered in the optimal solution of the unperturbed optimal control problem to compute sensitivity differentials of all problem functions with respect to these parameters. A complex model of a concern and its corresponding optimal control problem with four linear controls, seven state variables and several state and control inequality constraints has been considered. A parameter vector is introduced into the optimal control problem. The duration of the economic cycle, the risk premium cot and the inflation rate are perturbed by parameters. A direct method was used to compute the optimal solution for states and controls and its sensitivities due to perturbations in parameters of the model.
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