Stochastic policy design in a learning environment with rational expectations.

DOI10.1023/A:1004620021587zbMATH Open1054.90050MaRDI QIDQ1586794FDOQ1586794

Authors: Hans M. Amman, David A. Kendrick 

Publication date: 2000

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

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zbMATH Keywords

learningstochastic optimizationrational expectationsmacroeconomics

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

Cites Work

• Solving linear rational expectations models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Multi-Period Control Problem Under Uncertainty
• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• Computing the steady state of linear quadratic optimization models with rational expectations
• Title not available (Why is that?)
• A linear algebraic procedure for solving linear perfect foresight models
• The Solution of Linear Difference Models under Rational Expectations
• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• An Algorithm for Generalized Matrix Eigenvalue Problems
• Title not available (Why is that?)
• LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS
• Title not available (Why is that?)

Cited In (7)

• Mitigation of the Lucas critique with stochastic control methods
• Stochastic control for economic models: past, present and the paths ahead
• Solutions to a class of nonstandard stochastic control problems with active learning
• A classification system for economic stochastic control models
• Method of stochastic optimal control by bayesian filtering techniques
• Policy space identification in configurable environments
• Optimal control of nonlinear dynamic econometric models: an algorithm and an application

Uses Software

• Uhlig Toolkit

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