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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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Author Info
MARCO TUCCI ()
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File URL: http://hdl.handle.net/10.1007/s10614-005-9002-6
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Publisher Info
Article provided by Springer 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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Related research
Keywords: Robust control; optimal control; time-varying parameters;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hansen, Lars Peter & Sargent, Thomas J & Tallarini, Thomas D, Jr, 1999. "Robust Permanent Income and Pricing," Review of Economic Studies, Blackwell Publishing, vol. 66(4), pages 873-907, October. [Downloadable!] (restricted)
    Other versions:
  2. Swamy, P. A. V. B. & Tinsley, P. A., 1980. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Journal of Econometrics, Elsevier, vol. 12(2), pages 103-142, February. [Downloadable!] (restricted)
    Other versions:
  3. Kendrick, David A., 2005. "Stochastic control for economic models: past, present and the paths ahead," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 3-30, January. [Downloadable!] (restricted)
  4. Mizrach, Bruce, 1991. "Nonconvexities in a stochastic control problem with learning," Journal of Economic Dynamics and Control, Elsevier, vol. 15(3), pages 515-538, July. [Downloadable!] (restricted)
  5. Hansen, Lars Peter & Sargent, Thomas J., 2003. "Robust control of forward-looking models," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 581-604, April. [Downloadable!] (restricted)
  6. 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. [Downloadable!] (restricted)
  7. Rustem, Berc, 1988. "A constrained min-max algorithm for rival models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 101-107, March. [Downloadable!] (restricted)
  8. 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, vol. 7(1), pages 51-80, February. [Downloadable!] (restricted)
  9. 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.
    Other versions:
  10. Tucci, Marco P., 1997. "Adaptive control in the presence of time-varying parameters," Journal of Economic Dynamics and Control, Elsevier, vol. 22(1), pages 39-47, November. [Downloadable!] (restricted)
  11. 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. [Downloadable!] (restricted)
  12. Roger Craine & Arthur Havenner & Peter Tinsley, 1976. "Optiimal Macroeconomic Control Policies," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 2, pages 27-39 National Bureau of Economic Research, Inc. [Downloadable!]
  13. Bernhard, Pierre, 2002. "Survey Of Linear Quadratic Robust Control," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 19-39, February. [Downloadable!]
  14. Hansen, Lars Peter & Sargent, Thomas J. & Wang, Neng E., 2002. "Robust Permanent Income And Pricing With Filtering," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 40-84, February. [Downloadable!]
  15. 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.).
  16. Giannoni, Marc P., 2002. "Does Model Uncertainty Justify Caution? Robust Optimal Monetary Policy In A Forward-Looking Model," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 111-144, February. [Downloadable!]
  17. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June. [Downloadable!] (restricted)
  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. [Downloadable!] (restricted)
  19. 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. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Marco P. Tucci, 2009. "How Robust is Robust Control in the Time Domain?," Department of Economics University of Siena 569, Department of Economics, University of Siena. [Downloadable!]
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