The parameter set in an adaptive control Monte Carlo experiment: some considerations
From MaRDI portal
Publication:602847
DOI10.1016/j.jedc.2010.06.014zbMath1231.91367MaRDI QIDQ602847
David A. Kendrick, Marco P. Tucci, Hans M. Amman
Publication date: 5 November 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.06.014
stochastic optimization; numerical experiments; time-varying parameters; active learning; dual control; optimal experimentation
65C05: Monte Carlo methods
93B52: Feedback control
91B70: Stochastic models in economics
93E20: Optimal stochastic control
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem
- A classification system for economic stochastic control models
- Nonconvexities in a stochastic control problem with learning
- The nonconvexities problem in adaptive control models: A simple computational solution
- Adaptive control in the presence of time-varying parameters
- Learning and control in a changing economic environment.
- Solving the Beck and Wieland model with optimal experimentation in \textit{DualPC}
- An Adaptive Learning Rule for Multiperiod Decision Problems
- Nonconvexities in Stochastic Control Models
- An actively adaptive control for linear systems with random parameters via the dual control approach
- The rational expectation hypothesis, time-varying parameters and adaptive control. A promising combination?
