Comparison of policy functions from the optimal learning and adaptive control frameworks

DOI10.1007/s10287-014-0215-9zbMath1328.90170OpenAlexW2063487355MaRDI QIDQ2355208

Hans M. Amman, David A. Kendrick

Publication date: 21 July 2015

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://pure.uva.nl/ws/files/2448632/155471_CMS.pdf

zbMATH Keywords

stochastic optimizationnumerical experimentstime-varying parametersactive learningdual controloptimal experimentation

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15)

Uses Software

• Duali
• DualPC

Cites Work

• Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem
• A value function arising in the economics of information
• Learning and control in a changing economic environment.
• Learning by doing and the value of optimal experimentation
• Solving the Beck and Wieland model with optimal experimentation in \textit{DualPC}
• Solving Ramsey Problems with Nonlinear Projection Methods
• The Multi-Period Control Problem Under Uncertainty
• Asymptotic Properties of Multiperiod Control Rules in the Linear Regression Model
• Nonconvexities in Stochastic Control Models
• The rational expectation hypothesis, time-varying parameters and adaptive control. A promising combination?
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