Two Problems in Applying Ljung's Projection Algorithms to the Analysis of Decentralized Learning
AbstractWe show that Ljung's projection algorthms, which we have recently been used by economists to establish convergence to rational expectations equilibrium, do not seem to apply to learning or forecasting behavior that one would normally call "decentralized." If the algorithm is defined in a way that allows individuals to have differing information. then Ljung's theorem does not apply. And even if a similar theorem could be proved that would allow for differing information, there remains a Lyapunov-like condition that is central to Ljung's projection method and which requires that individual beliefs be narrowly related to the equilibrium and to one another.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Theory.
Volume (Year): 62 (1994)
Issue (Month): 2 (April)
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Web page: http://www.elsevier.com/locate/inca/622869
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- Moreno, Diego & Walker, Mark, . "Two problems in applying Ljung's 'projection algorithms' to the analysis of decentralized learning," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/4443, Universidad Carlos III de Madrid.
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