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Optimal control of partially observable linear quadratic systems with asymmetric observation errors

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  • Romera, Rosario

Abstract

This paper deals with the optimal quadratic control problem for non-Gaussian discrete-time stochastic systems. Our main result gives explicit solutions for the optimal quadratic control problem for partially observable dynamic linear systems with asymmetric observation errors. For this purpose an asymmetric version of the Kalman filter based on asymmetric least squares estimation is used. We illustrate the applicability of our approach with numerical results.

Suggested Citation

  • Romera, Rosario, 2001. "Optimal control of partially observable linear quadratic systems with asymmetric observation errors," DES - Working Papers. Statistics and Econometrics. WS ws013220, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws013220
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    References listed on IDEAS

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    1. Leffrancois, Pierre, 1989. "Allowing for asymmetry in forecast errors : Results from a Monte-Carlo study," International Journal of Forecasting, Elsevier, vol. 5(1), pages 99-110.
    2. Rosario Romera, 1997. "On the optimal control of stochastic linear systems with contaminated partial observations," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 5(1), pages 143-157, June.
    3. Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-847, July.
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