Solving stochastic optimization models with learning and rational expectations

DOI10.1016/0165-1765(95)98449-YMaRDI QIDQ673397zbMATHOpenAlexFDO

Authors Hans M. Amman, David A. Kendrick, Sudhakar Achath

Publication date 28 February 1997

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(95)98449-y

zbMATH Keywords

LearningStochastic controlForward variablesRational expectationssingle-agent stochastic dynamic optimization

Mathematics Subject Classification ID

Economic growth models (91B62)

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Cites work

• scientific article; zbMATH DE number 3752669 (Why is no real title available?)
• scientific article; zbMATH DE number 52649 (Why is no real title available?)
• A note on computing competitive equilibria in linear models
• Solution and Maximum Likelihood Estimation of Dynamic Nonlinear Rational Expectations Models
• The Solution of Linear Difference Models under Rational Expectations

Cited in

(9)

• Stochastic policy design in a learning environment with rational expectations.
• Computing the steady state of linear quadratic optimization models with rational expectations
• Open loop time consistency for linear rational expectations models
• Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems
• Forward-looking variables in deterministic control
• Solution and control of linear rational expectations models with structural effects from future instruments
• Predicting optimal solution cost with conditional probabilities
• Optimal Learning for Stochastic Optimization with Nonlinear Parametric Belief Models
• Quasi-rational expectations, an alternative to fully rational expectations: An application to US beef cattle supply

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