Search Results - subject:"Robust Control"

Model Uncertainty, Ambiguity and the Precautionary Principle: Implications for Biodiversity Management

Vardas, Giannis; Xepapadeas, Anastasios - In: Environmental & Resource Economics 45 (2010) 3, pp. 379-404

Persistent link: https://www.econbiz.de/10008522399

Incertidumbre y politica económica : grandes problemas y pequeños modelos

Mercado, P. Ruben - In: Ensayos económicos 57/58 (2010), pp. 33-57

Persistent link: https://www.econbiz.de/10011489426

Robust consumption and portfolio choice for time varying investment opportunities

Liu, Hening - In: Annals of Finance 6 (2010) 4, pp. 435-454

Persistent link: https://www.econbiz.de/10008673610

Methods for robust control

Dennis, Richard; Leitemo, Kai; Söderström, Ulf - In: Journal of Economic Dynamics and Control 33 (2009) 8, pp. 1604-1616

Robust control allows policymakers to formulate policies that guard against model misspecification. The principal tools … used to solve robust control problems are state-space methods [see Hansen, L.P., Sargent T.J., 2008. Robustness. Princeton … (1), 31-55] to solve control problems with rational expectations can also be applied to robust control problems, with the …

Persistent link: https://www.econbiz.de/10005006669

Does Model Uncertainty Justify Conservatism? Robustness and the Delegation of Monetary Policy

Tillmann, Peter - In: Contributions to Macroeconomics 9 (2009) 1, pp. 1564-1564

This paper analyzes the rationale for delegating monetary policy to an inflation-averse central banker when there is a preference for robustness of optimal policy with respect to misspecifications of the underlying model of the economy. We use a simple New Keynesian model to show how the optimal...

Persistent link: https://www.econbiz.de/10005046521

ROBUST DYNAMIC PRICING OVER INFINITE HORIZON IN THE PRESENCE OF MODEL UNCERTAINTY

LI, GENDAO; XIONG, YU; XIONG, ZHONGKAI - In: Asia-Pacific Journal of Operational Research (APJOR) 26 (2009) 06, pp. 779-804

This paper studies a problem of dynamic pricing faced by a retailer with limited inventory, uncertain about the demand rate model, aiming to maximize expected discounted revenue over an infinite time horizon. The retailer doubts his demand model which is generated by historical data and views it...

Persistent link: https://www.econbiz.de/10008487392

How Robust is Robust Control in the Time Domain?

Tucci, Marco P. - Dipartimento di Economia Politica e Statistics, … - 2009

By applying robust control the decision maker wants to make good decisions when his model is only a good approximation … “probabilistically sophisticated” and a non-“probabilistically sophisticated” decision maker applying robust control in the time domain …

Persistent link: https://www.econbiz.de/10008528597

Imperfect Knowledge and the Pitfalls of Optimal Control Monetary Policy

Orphanides, Athanasios; Williams, John C. - Central Bank of Cyprus - 2008

This paper examines the robustness characteristics of optimal control policies derived under the assumption of rational expectations to alternative models of expectations formation and uncertainty about the natural rates of interest and unemployment. We assume that agents have imperfect...

Persistent link: https://www.econbiz.de/10005001847

Learning, Expectations Formation, and the Pitfalls of Optimal Control Monetary Policy

Orphanides, Athanasios; Williams, John C. - Central Bank of Cyprus - 2008

This paper examines the robustness characteristics of optimal control policies derived under the assumption of rational expectations to alternative models of expectations. We assume that agents have imperfect knowledge about the precise structure of the economy and form expectations using a...

Persistent link: https://www.econbiz.de/10005770647

Robust optimal control for a consumption-investment problem

Schied, Alexander - In: Mathematical Methods of Operations Research 67 (2008) 1, pp. 1-20

We give an explicit PDE characterization for the solution of the problem of maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a risky asset, whose volatility and long-term trend are driven by an external...

Persistent link: https://www.econbiz.de/10010999855