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Comparing robust control with optimal control with time-varying parameters

Author

Listed:
  • Marco P. Tucci

Abstract

This paper builds upon the work by Tucci and Kendrick (2001) in which the authors develop a quadratic form version of the robust permanent income and pricing model described in Hansen, Sargent and Tallerini (1999). Then using the parameter values given on p. 18 of the HST paper they compute the robust control solution using DUALI software. In this paper the original HST model is rewritten as a time-varying model and optimal optimal is applied to this model. The solution is then compared with the DUALI solution in Tucci and Kendrick (2001)

Suggested Citation

  • Marco P. Tucci, 2004. "Comparing robust control with optimal control with time-varying parameters," Computing in Economics and Finance 2004 127, Society for Computational Economics.
    • Handle: RePEc:sce:scecf4:127
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    More about this item

    Keywords

    Robust control; optimal control; time-varying parameters;
    All these keywords.

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis

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