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Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters

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  • MARCO TUCCI

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  • Marco Tucci, 2006. "Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 533-558, June.
    • Handle: RePEc:kap:compec:v:27:y:2006:i:4:p:533-558
    DOI: 10.1007/s10614-005-9002-6
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    1. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Permanent Income and Pricing," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 3, pages 33-81, World Scientific Publishing Co. Pte. Ltd..
    2. Swamy, P. A. V. B. & Tinsley, P. A., 1980. "Linear prediction and estimation methods for regression models with stationary stochastic coefficients," Journal of Econometrics, Elsevier, vol. 12(2), pages 103-142, February.
    3. Kendrick, David A., 2005. "Stochastic control for economic models: past, present and the paths ahead," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 3-30, January.
    4. Mizrach, Bruce, 1991. "Nonconvexities in a stochastic control problem with learning," Journal of Economic Dynamics and Control, Elsevier, vol. 15(3), pages 515-538, July.
    5. 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 632-645, October.
    6. Hansen, Lars Peter & Sargent, Thomas J. & Wang, Neng E., 2002. "Robust Permanent Income And Pricing With Filtering," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 40-84, February.
    7. Onatski, Alexei & Stock, James H., 2002. "Robust Monetary Policy Under Model Uncertainty In A Small Model Of The U.S. Economy," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 85-110, February.
    8. Franklin R. Shupp, 1972. "Uncertainty and Stabilization Policies for a Nonlinear Macroeconomic Model," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 86(1), pages 94-110.
    9. Hansen, Lars Peter & Sargent, Thomas J., 2003. "Robust control of forward-looking models," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 581-604, April.
    10. Henderson, Dale W. & Turnovsky, Stephen J., 1972. "Optimal macroeconomic policy adjustment under conditions of risk," Journal of Economic Theory, Elsevier, vol. 4(1), pages 58-71, February.
    11. Turnovsky, Stephen J, 1975. "Optimal Choice of Monetary Instrument in a Linear Economic Model with Stochastic Coefficients," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 7(1), pages 51-80, February.
    12. Rustem, Berc, 1988. "A constrained min-max algorithm for rival models," Journal of Economic Dynamics and Control, Elsevier, vol. 12(1), pages 101-107, March.
    13. Yaakov Bar-Shalom & Edison Tse, 1976. "Caution, Probing, and the Value of Information in the Control of Uncertain Systems," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 3, pages 323-337, National Bureau of Economic Research, Inc.
    14. 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.
    15. 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.
    16. Roger Craine & Arthur Havenner & Peter Tinsley, 1976. "Optimal Macroeconomic Control Policies," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 2, pages 191-203, National Bureau of Economic Research, Inc.
    17. Bernhard, Pierre, 2002. "Survey Of Linear Quadratic Robust Control," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 19-39, February.
    18. Roger Craine & Arthur M. Havenner & Peter A. Tinsley, 1974. "On Nerff solutions of macroeconomic tracking problems," Special Studies Papers 48, Board of Governors of the Federal Reserve System (U.S.).
    19. Giannoni, Marc P., 2002. "Does Model Uncertainty Justify Caution? Robust Optimal Monetary Policy In A Forward-Looking Model," Macroeconomic Dynamics, Cambridge University Press, vol. 6(1), pages 111-144, February.
    20. Tucci, Marco P., 1995. "Time-varying parameters: a critical introduction," Structural Change and Economic Dynamics, Elsevier, vol. 6(2), pages 237-260, June.
    21. Christopher A. Sims, 2001. "Pitfalls of a Minimax Approach to Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 51-54, May.
    22. Amman, Hans M & Kendrick, David A, 1995. "Nonconvexities in Stochastic Control Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(2), pages 455-475, May.
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    Cited by:

    1. Marco P. Tucci, 2009. "How Robust is Robust Control in the Time Domain?," Department of Economics University of Siena 569, Department of Economics, University of Siena.

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