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Mean and variance optimization of non–linear systems and worst–case analysis

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Author Info
P. Parpas
B. Rustem ()
V. Wieland
S. Žaković

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Abstract

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File URL: http://hdl.handle.net/10.1007/s10589-007-9136-7
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Publisher Info
Article provided by Springer in its journal Computational Optimization and Applications.

Volume (Year): 43 (2009)
Issue (Month): 2 (June)
Pages: 235-259
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Handle: RePEc:spr:coopap:v:43:y:2009:i:2:p:235-259

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Web page: http://www.springer.com/math/journal/10589

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Related research
Keywords: Expected value; Worst–case analysis; Policy design;

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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)
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  2. Rustem, Berc, 1994. "Stochastic and robust control of nonlinear economic systems," European Journal of Operational Research, Elsevier, vol. 73(2), pages 304-318, March. [Downloadable!] (restricted)
  3. J. Tetlow, Robert & von zur Muehlen, Peter, 2001. "Robust monetary policy with misspecified models: Does model uncertainty always call for attenuated policy?," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 911-949, June. [Downloadable!] (restricted)
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This page was last updated on 2009-12-23.

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