Stochastic policy design in a learning environment with rational expectations.

DOI10.1023/A:1004620021587MaRDI QIDQ1586794zbMATH OpenFDO

Authors Hans M. Amman, David A. Kendrick

Publication date 2000

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

zbMATH Keywords

learningstochastic optimizationrational expectationsmacroeconomics

Mathematics Subject Classification ID

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

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Cites work

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• A linear algebraic procedure for solving linear perfect foresight models
• An Algorithm for Generalized Matrix Eigenvalue Problems
• Computing the steady state of linear quadratic optimization models with rational expectations
• Convergence of least squares learning mechanisms in self-referential linear stochastic models
• LINEAR-QUADRATIC OPTIMIZATION FOR MODELS WITH RATIONAL EXPECTATIONS
• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• Solving linear rational expectations models
• The Multi-Period Control Problem Under Uncertainty
• The Solution of Linear Difference Models under Rational Expectations

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

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Uses Software

• Uhlig Toolkit

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