IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v199y2009i2p435-441.html
   My bibliography  Save this article

Optimal information acquisition for a linear quadratic control problem

Author

Listed:
  • Lindset, Snorre
  • Lund, Arne-Christian
  • Matsen, Egil

Abstract

This paper develops a generalization of the linear quadratic control problem with partial information. As in the standard partial information setting, it is assumed that the state variable is only observed with noise. The idea in this paper is that the information level may be chosen optimally. In real life information is costly to acquire. It is therefore a trade off between the costs of getting detailed information and the increased value this information gives. We believe that the technique we present should have potential for application within both economics and engineering.

Suggested Citation

  • Lindset, Snorre & Lund, Arne-Christian & Matsen, Egil, 2009. "Optimal information acquisition for a linear quadratic control problem," European Journal of Operational Research, Elsevier, vol. 199(2), pages 435-441, December.
    • Handle: RePEc:eee:ejores:v:199:y:2009:i:2:p:435-441
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(08)01012-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Pautsch, Gregory R. & Babcock, Bruce A. & Breidt, F. Jay, 1999. "Optimal Information Acquisition Under A Geostatistical Model," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 24(2), pages 1-25, December.
    2. Kihlstrom, Richard E, 1974. "A Bayesian Model of Demand for Information About Product Quality," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 99-118, February.
    3. Stephen M. Pollock, 1967. "Minimum-Cost Checking Using Imperfect Information," Management Science, INFORMS, vol. 13(7), pages 454-465, March.
    4. Giuseppe Moscarini & Lones Smith, 2002. "The Law of Large Demand for Information," Econometrica, Econometric Society, vol. 70(6), pages 2351-2366, November.
    5. Stephen M. Pollock, 1970. "A Simple Model of Search for a Moving Target," Operations Research, INFORMS, vol. 18(5), pages 883-903, October.
    6. James M. Dobbie, 1974. "A Two-Cell Model of Search for a Moving Target," Operations Research, INFORMS, vol. 22(1), pages 79-92, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yusheng Zhou & Zaihua Wang, 2014. "Optimal Feedback Control for Linear Systems with Input Delays Revisited," Journal of Optimization Theory and Applications, Springer, vol. 163(3), pages 989-1017, December.
    2. Weber, Thomas A. & Nguyen, Viet Anh, 2018. "A linear-quadratic Gaussian approach to dynamic information acquisition," European Journal of Operational Research, Elsevier, vol. 270(1), pages 260-281.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Keppo, Jussi & Moscarini, Giuseppe & Smith, Lones, 2008. "The demand for information: More heat than light," Journal of Economic Theory, Elsevier, vol. 138(1), pages 21-50, January.
    2. Duvocelle, Benoit & Flesch, János & Staudigl, Mathias & Vermeulen, Dries, 2022. "A competitive search game with a moving target," European Journal of Operational Research, Elsevier, vol. 303(2), pages 945-957.
    3. Gertz, Christopher, 2016. "Quality Uncertainty with Imperfect Information Acquisition," Center for Mathematical Economics Working Papers 487, Center for Mathematical Economics, Bielefeld University.
    4. Duffie, Darrell & Malamud, Semyon & Manso, Gustavo, 2010. "The relative contributions of private information sharing and public information releases to information aggregation," Journal of Economic Theory, Elsevier, vol. 145(4), pages 1574-1601, July.
    5. Jörgen Weibull & Lars-Göran Mattsson & Mark Voorneveld, 2007. "Better May be Worse: Some Monotonicity Results and Paradoxes in Discrete Choice Under Uncertainty," Theory and Decision, Springer, vol. 63(2), pages 121-151, September.
    6. Tembo, Gelson & Brorsen, B. Wade & Epplin, Francis M., 2003. "Linear Response Stochastic Plateau Functions," 2003 Annual Meeting, February 1-5, 2003, Mobile, Alabama 35217, Southern Agricultural Economics Association.
    7. DeSarbo, Wayne S. & Choi, Jungwhan, 1998. "A latent structure double hurdle regression model for exploring heterogeneity in consumer search patterns," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 423-455, November.
    8. Azevedo, Eduardo M. & Mao, David & Montiel Olea, José Luis & Velez, Amilcar, 2023. "The A/B testing problem with Gaussian priors," Journal of Economic Theory, Elsevier, vol. 210(C).
    9. Jones, Eugene & Batte, Marvin T. & Schnitkey, Gary D., 1990. "A Socioeconomic Analysis Of Marketing Information Usage Among Ohio Fruit Producers," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 22(2), pages 1-9, December.
    10. Mira Frick & Ryota Iijima & Yuhta Ishii, 2021. "Welfare Comparisons for Biased Learning," Cowles Foundation Discussion Papers 2274, Cowles Foundation for Research in Economics, Yale University.
    11. Katsuya Takii, 2003. "Prediction Ability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(1), pages 80-98, January.
    12. Athey, Susan & Levin, Jonathan, 2018. "The value of information in monotone decision problems," Research in Economics, Elsevier, vol. 72(1), pages 101-116.
    13. McFadden, Brandon R. & Lusk, Jayson L., 2015. "Cognitive biases in the assimilation of scientific information on global warming and genetically modified food," Food Policy, Elsevier, vol. 54(C), pages 35-43.
    14. Dionne, Georges, 1980. "Analyse des effets de l’assurance et de la relation de confiance consommateur-producteur sur les possibilités d’abus des chirurgiens," L'Actualité Economique, Société Canadienne de Science Economique, vol. 56(2), pages 211-238, avril-jui.
    15. repec:bla:germec:v:10:y:2009:i::p:401-421 is not listed on IDEAS
    16. Pope, Rulon D., 1985. "The Impact Of Information On Consumer Preferences," Research on Effectiveness of Agricultural Commodity Promotion, April 9-10, 1985, Arlington, Virginia 279489, Regional Research Projects > NECC-63: Research Committee on Commodity Promotion.
    17. Hsiu-lang Chen & Jolana Stejskalova, 2024. "A Collection of Wisdom in Predicting Sector Returns: The Use of Google Search Volume Index," JRFM, MDPI, vol. 17(10), pages 1-19, October.
    18. Rejesus, Roderick M. & Nelson, Carl H., 2000. "Determinants Of The Value Of Site-Specific Information (Ssi) In Agriculture: A Unifying Theory To Analyze Its Relative Impacts," 2000 Annual meeting, July 30-August 2, Tampa, FL 21779, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    19. Anthony Heyes & Sandeep Kapur & Peter W. Kennedy & Steve Martin & John W. Maxwell, 2020. "But What Does It Mean? Competition between Products Carrying Alternative Green Labels When Consumers Are Active Acquirers of Information," Journal of the Association of Environmental and Resource Economists, University of Chicago Press, vol. 7(2), pages 243-277.
    20. De Jaegher, K. & Kamphorst, J.J.A., 2015. "Minimal two-way flow networks with small decay," Journal of Economic Behavior & Organization, Elsevier, vol. 109(C), pages 217-239.
    21. Gubins, Sergejs & Verhoef, Erik T. & de Graaff, Thomas, 2012. "Welfare effects of road pricing and traffic information under alternative ownership regimes," Transportation Research Part A: Policy and Practice, Elsevier, vol. 46(8), pages 1304-1317.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:199:y:2009:i:2:p:435-441. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.