Expected optimal feedback with Time-Varying Parameters
In this paper we derive, by using dynamic programming, the closed loop form of the Expected Optimal Feedback rule with time varying parameter. As such this paper extends the work of Kendrick (1981, 2002, Chapter 6) for the time varying parameter case. Furthermore, we show that the Beck and Wieland (2002) model can be cast into this framework and can be treated as a special case of this solution.
|Date of creation:||Feb 2007|
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- Elizabeth Chase MacRae, 1972. "Linear Decision with Experimentation," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 1, number 4, pages 437-447 National Bureau of Economic Research, Inc.
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