In this paper, we perform an in - depth investigation of relative merits of two adaptive learning algorithms with constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a testing ground. The behavior of the two learning algorithms...

This paper provides a new technique for representing discrete time nonlinear dynamic stochastic time invariant maps. Using this new series representation, the paper augments the usual solution strategy with an additional set of constraints thereby enhancing algorithm reliability. The paper also...

We present the first necessary and sufficient conditions for the existence of a unique perfect-foresight solution, returning to a given steady-state, in an otherwise linear model with occasionally binding constraints. We derive further conditions on the existence of a solution in such models,...

We develop a methodology for studying large deviations type questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...

We develop a methodology for studying ''large deviations type'' questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a larg class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals are...

For an increasing upper order hemi-continuous correspondence F selfmapping sigma-complete lattice A, we first provide tight fixed-point bounds for sufficiently large iterations on F starting from any initial point a in A. We use this result for conducting iterative fixed-point comparative...

We present a computationally effective method of solving regular linear dynamic systems based on Schur decomposition. One of the advantage of presented method is possibility of problem dimension reduction. This allows for efficient solution of models with very large set of endogenous variables...

We present the first necessary and sufficient conditions for there to be a unique perfect-foresight solution to an otherwise linear dynamic model with occasionally binding constraints, given a fixed terminal condition. We derive further results on the existence of a solution in the presence of...

We present the first necessary and sufficient conditions for there to be a unique perfect-foresight solution to an otherwise linear dynamic model with occasionally binding constraints, given a fixed terminal condition. We derive further conditions on the existence of a solution in such models....