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

  • MARCO TUCCI

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    File URL: http://hdl.handle.net/10.1007/s10614-005-9002-6
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    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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    1. Lars Peter Hansen & Thomas J. Sargent & Thomas D. Tallarini Jr., 1997. "Robust Permanent Income and Pricing," Levine's Working Paper Archive 596, David K. Levine.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    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.
    7. Alexei Onatski & James H. Stock, 2000. "Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy," NBER Working Papers 7490, National Bureau of Economic Research, Inc.
    8. 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.
    9. 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.
    10. 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.
    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.
    12. 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.
    13. 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.
    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.
    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. 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.
    17. Bernhard, Pierre, 2002. "Survey Of Linear Quadratic Robust Control," Macroeconomic Dynamics, Cambridge University Press, vol. 6(01), pages 19-39, February.
    18. 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.
    19. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
    20. 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.
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