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Duali: Software for Solving Stochastic Control Problems in Economics

In: Computational Methods in Financial Engineering

Author

Listed:
  • David A. Kendrick

    (University of Texas)

  • Marco P. Tucci

    (Università di Siena)

  • Hans M. Amman

    (Utrecht University)

Abstract

Currently there is a renewed interest in the use of optimal experimentation (adaptive control) in economics. The Methods Comparison Project deals with comparing various methods for solving optimal experimentation economic models. In this context, the Beck and Wieland model and the methodology to solve this model with time-varying parameters using adaptive control is introduced. Numerical results for this model using the DualPC software are also presented.

Suggested Citation

  • David A. Kendrick & Marco P. Tucci & Hans M. Amman, 2008. "Duali: Software for Solving Stochastic Control Problems in Economics," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 393-419, Springer.
    • Handle: RePEc:spr:sprchp:978-3-540-77958-2_18
    DOI: 10.1007/978-3-540-77958-2_18
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    Cited by:

    1. 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.
    2. H.M. Amman & D.A. Kendrick, 2012. "Conjectures on the policy function in the presence of optimal experimentation," Working Papers 12-09, Utrecht School of Economics.

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