Higher-Moments in Perturbation Solution of the Linear-Quadratic Exponential Gaussian Optimal Control Problem
The paper obtains two principal results. First, using a new definition ofhigher-order (>2) matrix derivatives, the paper derives a recursion forcomputing any Gaussian multivariate moment. Second, the paper uses this resultin a perturbation method to derive equations for computing the 4th-orderTaylor-series approximation of the objective function of the linear-quadraticexponential Gaussian (LQEG) optimal control problem. Previously, Karp (1985)formulated the 4th multivariate Gaussian moment in terms of MacRae'sdefinition of a matrix derivative. His approach extends with difficulty to anyhigher (>4) multivariate Gaussian moment. The present recursionstraightforwardly computes any multivariate Gaussian moment. Karp used hisformulation of the Gaussian 4th moment to compute a 2nd-order approximationof the finite-horizon LQEG objective function. Using the simpler formulation,the present paper applies the perturbation method to derive equations forcomputing a 4th-order approximation of the infinite-horizon LQEG objectivefunction. By illustrating a convenient definition of matrix derivatives in thenumerical solution of the LQEG problem with the perturbation method, the papercontributes to the computational economist's toolbox for solving stochasticnonlinear dynamic optimization problems. Copyright Kluwer Academic Publishers 2003
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 21 (2003)
Issue (Month): 1 (February)
|Contact details of provider:|| Web page: http://www.springerlink.com/link.asp?id=100248|
More information through EDIRC
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.:
- Karp, Larry S., 1985. "Higher moments in the linear-quadratic-gaussian problem," Journal of Economic Dynamics and Control, Elsevier, vol. 9(1), pages 41-54, September.
- Collard, Fabrice & Juillard, Michel, 1999.
"Accuracy of stochastic perturbuation methods: the case of asset pricing models,"
CEPREMAP Working Papers (Couverture Orange)
- Collard, Fabrice & Juillard, Michel, 2001. "Accuracy of stochastic perturbation methods: The case of asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 979-999, June.
- Peter A. Zadrozny & Baoline Chen, 1999. "Perturbation Solution of Nonlinear Rational Expectations Models," Computing in Economics and Finance 1999 334, Society for Computational Economics.
- Baoline Chen & A. Zadrozny, 2000. "Estimated U.S. Manufacturing Capital And Productivity Based On An Estimated Dynamic Economic Model," Computing in Economics and Finance 2000 133, Society for Computational Economics.
When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:21:y:2003:i:1:p:45-64. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.