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The Nonconvexities Problem in Adaptive Control Models: A Simple Computational Solution

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  • Tucci, Marco P

Abstract

In the last few years new attention has been paid to the problem of nonconvexities in the cost-to-go function in adaptive control models. Using analytical methods, it can be found that nonconvexities are caused by the probing component of the total cost-to-go (Mizrach, 1991) or by the cautionary component of the cost-to-go (Amman and Kendrick, 1995). In this paper a simple algorithm based on the usual gradient methods, able to detect the presence of nonconvexities in an adaptive control problem and to find the global optimum, is presented and its effectiveness is studied in a Monte Carlo experiment. The simulations reported show that this code seems well suited for most of the situations likely to occur in empirical studies. In the future this algorithm must be tested in larger models to see if these results hold in more complex situations. Citation Copyright 1998 by Kluwer Academic Publishers.

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  • Tucci, Marco P, 1998. "The Nonconvexities Problem in Adaptive Control Models: A Simple Computational Solution," Computational Economics, Springer;Society for Computational Economics, vol. 12(3), pages 203-222, December.
  • Handle: RePEc:kap:compec:v:12:y:1998:i:3:p:203-22
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    Cited by:

    1. Tucci, Marco P. & Kendrick, David A. & Amman, Hans M., 2010. "The parameter set in an adaptive control Monte Carlo experiment: Some considerations," Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1531-1549, September.
    2. D.A. Kendrick & H.M. Amman & M.P. Tucci, 2008. "Learning About Learning in Dynamic Economic Models," Working Papers 08-20, Utrecht School of Economics.
    3. Bond, Craig A., 2008. "On the Potential Use of Adaptive Control Methods for Improving Adaptive Natural Resource Management," Working Papers 108721, Colorado State University, Department of Agricultural and Resource Economics.
    4. repec:use:tkiwps:2020 is not listed on IDEAS
    5. Novella Maugeri, 2014. "Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 339-378, October.
    6. Tucci, Marco P., 2002. "A note on global optimization in adaptive control, econometrics and macroeconomics," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1739-1764, August.

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