Solving the Beck and Wieland model with optimal experimentation in DualPC |
| |
Authors: | Hans M. Amman [Author Vitae] David A. Kendrick [Author Vitae] [Author Vitae] |
| |
Affiliation: | Utrecht School of Economics, Utrecht University, Heidelberglaan 8, 3584 CS Utrecht, The Netherlands Department of Economics, University of Texas, Austin, TX 78712, USA Dipartimento di Economia Politica, Università di Siena, Piazza S. Francesco, 7, 53100 Siena, Italy |
| |
Abstract: | Currently, there is a renewed interest in the use of optimal experimentation (adaptive control) in economics. Example are found in [Amman and Kendrick, 1999], [Amman and Kendrick, 2003], [Cosimano, in?press], [Cosimano and Gapen, 2005b], [Cosimano and Gapen, 2005a], [Cosimano and Gapen, 2006], [Tesfaselassie et?al., 2007], [Tucci, 1997], [Wieland, 2000a] and [Wieland, 2000b]. In this paper we present the Beck & Wieland model [Beck, G., & Wieland, V. (2002). Learning and control in a changing economic environment. Journal of Economic Dynamics and Control, 26, 1359-1378] and the methodology to solve this model with time-varying parameters using the various control methods described in [Kendrick, 1981] and [Kendrick, 2002]. Furthermore, we also provide numerical results using the DualPC software [Amman, H. M., & Kendrick, D. A. (1999). The DualI/DualPC software for optimal control models: User’s guide. Working paper, Austin, TX 78712, USA: Center for Applied Research in Economics, University of Texas] and show first evidence that optimal experimentation or Dual Control may produce better results than Expected Optimal Feedback. |
| |
Keywords: | Dual control Optimal experimentation Stochastic optimization Time-varying parameters Numerical experiments |
本文献已被 ScienceDirect 等数据库收录! |
|