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Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters

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  • MARCO TUCCI

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    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 27 (2006)
    Issue (Month): 4 (June)
    Pages: 533-558

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    Handle: RePEc:kap:compec:v:27:y:2006:i:4:p:533-558

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    Web page: http://www.springerlink.com/link.asp?id=100248
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    Related research

    Keywords: Robust control; optimal control; time-varying parameters;

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    1. Alexei Onatski & James H. Stock, 1999. "Robust monetary policy under model uncertainty in a small model of the U.S. economy," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco.
    2. Mizrach, Bruce, 1991. "Nonconvexities in a stochastic control problem with learning," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 15(3), pages 515-538, July.
    3. Bernhard, Pierre, 2002. "Survey Of Linear Quadratic Robust Control," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 6(01), pages 19-39, February.
    4. Hansen, Lars Peter & Sargent, Thomas J. & Wang, Neng E., 2002. "Robust Permanent Income And Pricing With Filtering," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 6(01), pages 40-84, February.
    5. Amman, Hans M & Kendrick, David A, 1995. "Nonconvexities in Stochastic Control Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(2), pages 455-75, May.
    6. P.A.V.B. Swamy & P.A. Tinsley, 1976. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Special Studies Papers 78, Board of Governors of the Federal Reserve System (U.S.).
    7. Tucci, Marco P., 1997. "Adaptive control in the presence of time-varying parameters," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 22(1), pages 39-47, November.
    8. Hansen, Lars Peter & Sargent, Thomas J., 2003. "Robust control of forward-looking models," Journal of Monetary Economics, Elsevier, Elsevier, vol. 50(3), pages 581-604, April.
    9. Chow, Gregory C, 1973. "Effect of Uncertainty on Optimal Control Policies," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 14(3), pages 632-45, October.
    10. Lars Hansen & Thomas Sargent & Thomas Tallarini, . "Robust Permanent Income and Pricing," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 1997-51, Carnegie Mellon University, Tepper School of Business.
    11. Roger Craine & Arthur Havenner & Peter Tinsley, 1976. "Optimal Macroeconomic Control Policies," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 2, pages 191-203 National Bureau of Economic Research, Inc.
    12. Elizabeth Chase MacRae, 1972. "Linear Decision with Experimentation," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 4, pages 435-445 National Bureau of Economic Research, Inc.
    13. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, Elsevier, vol. 6(2), pages 237-260, June.
    14. Giannoni, Marc P., 2002. "Does Model Uncertainty Justify Caution? Robust Optimal Monetary Policy In A Forward-Looking Model," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 6(01), pages 111-144, February.
    15. Henderson, Dale W. & Turnovsky, Stephen J., 1972. "Optimal macroeconomic policy adjustment under conditions of risk," Journal of Economic Theory, Elsevier, vol. 4(1), pages 58-71, February.
    16. Turnovsky, Stephen J, 1975. "Optimal Choice of Monetary Instrument in a Linear Economic Model with Stochastic Coefficients," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 7(1), pages 51-80, February.
    17. P.A. Tinsley & R.Craine & A.M. Havenner, 1974. "On Nerff solutions of macroeconomic tracking problems," Special Studies Papers 48, Board of Governors of the Federal Reserve System (U.S.).
    18. Christopher A. Sims, 2001. "Pitfalls of a Minimax Approach to Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 51-54, May.
    19. Rustem, Berc, 1988. "A constrained min-max algorithm for rival models," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(1), pages 101-107, March.
    20. Kendrick, David A., 2005. "Stochastic control for economic models: past, present and the paths ahead," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(1-2), pages 3-30, January.
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    Cited by:
    1. Marco P. Tucci, 2009. "How Robust is Robust Control in the Time Domain?," Department of Economics University of Siena, Department of Economics, University of Siena 569, Department of Economics, University of Siena.

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