Paper Info
Title
Dual adaptive control and uncertainty effects in macroeconomic systems optimization
Abstract
A method is presented for the quantitative assessment of the effects of uncertainty in macroeconomic policy optimization problems. Both parameter and measurement uncertainties are considered. The method derives from an application of adaptive dual control theory which decomposes the optimal loss function into three components: deterministic, cautionary, and probing. This characterizes the welfare loss due to uncertainty and permits the study of the relative importance of caution and probing in selecting the optimal policy instruments. An interesting illustration of the method is given for two macroeconometric models derived from the same data, but each with a different level of uncertainty.
Year
DOI
Venue
1980
10.1016/0005-1098(80)90050-3
Automatica
Keywords
DocType
Volume
Adaptive control,Bayes methods,decision theory,dual control,dynamic programming,economics,learning systems,modelling,stochastic control
Journal
16
Issue
ISSN
Citations 
2
0005-1098
0
PageRank 
References 
Authors
0.34
0
1
Name
Order
Citations
PageRank
Y. Bar-Shalom135780.17