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This paper studies adaptive learning with multiple models. An agent operating in a self-referential environment is aware of potential model misspecification, and tries to detect it, in real-time, using an econometric specification test. If the current model passes the test, it is used to...
Persistent link: https://www.econbiz.de/10011081266
This paper studies the problem of an agent who wants to prevent the state from exceeding a critical threshold. Even though the agent is presumed to know the model, the optimal policy is computed by solving a conventional robust control problem. That is, robustness is induced here by objectives...
Persistent link: https://www.econbiz.de/10010818166
This paper studies the problem of an agent who wants to prevent the state from exceeding a critical threshold. Even though the agent is presumed to know the model, the optimal policy is computed by solving a conventional robust control problem. That is, robustness is induced here by objectives...
Persistent link: https://www.econbiz.de/10010776907
Persistent link: https://www.econbiz.de/10005345662
Persistent link: https://www.econbiz.de/10005264852
This paper studies adaptive learning with multiple models. An agent operating in a self-referential environment is aware of potential model misspecification, and tries to detect it, in real-time, using an econometric specification test. If the current model passes the test, it is used to...
Persistent link: https://www.econbiz.de/10011275192
Persistent link: https://www.econbiz.de/10007909931
Large deviations methods are used to characterize the stochastic properties of validation dynamics.
Persistent link: https://www.econbiz.de/10011082058
We focus on the outcomes sustained by the decision rule consistent with the satisficing behavior a la Simon [1987], slightly perturbed to incorporate sympathy in the spirit of Hume [1978]. For a general class of two person games, as the probability of continuing the long term relationship...
Persistent link: https://www.econbiz.de/10011080845
In general symmetric games with a pure symmetric efficient state (Karadika, Mookherjee, Ray and Vega-Rodondo [1998]), the long term relationship becomes pervasive if the society has a large number of players and the probability of exogenous termination of long term relationship is small. At any...
Persistent link: https://www.econbiz.de/10011081075