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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- Chow, Gregory C, 1975. "A Solution to Optimal Control of Linear Systems with Unknown Parameters," The Review of Economics and Statistics, MIT Press, vol. 57(3), pages 338-45, August.
- Beck, Gunter W. & Wieland, Volker, 2002. "Learning and control in a changing economic environment," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1359-1377, August.
- MacRae, Elizabeth Chase, 1975. "An Adaptive Learning Rule for Multiperiod Decision Problems," Econometrica, Econometric Society, vol. 43(5-6), pages 893-906, Sept.-Nov.
- Stephen J. Turnovsky, 1976. "Optimal Stabilization Policies for Stochastic Linear Systems: The Case of Correlated Multiplicative and Additive Disturbances," Review of Economic Studies, Oxford University Press, vol. 43(1), pages 191-194.
- 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.
- 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.
- 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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