Expected optimal feedback with Time-Varying Parameters

M.P. Tucci, David Kendrick and Hans Amman

No 11-18, Working Papers from Utrecht School of Economics

Abstract: In this paper we derive the closed loop form of the Expected Optimal Feedback rule, sometimes called passive learning stochastic control, with time varying parameters. As such this paper extends the work of Kendrick (1981,2002, Chapter 6) where parameters are assumed to vary randomly around a known constant mean. Furthermore, we show that the cautionary myopic rule in Beck and Wieland (2002) model, a test bed for comparing various stochastic optimizations approaches, can be cast into this framework and can be treated as a special case of this solution.

Keywords: Optimal experimentation; stochastic optimization; time-varying parameters; expected optimal feedback (search for similar items in EconPapers)
Date: 2011
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https://dspace.library.uu.nl/bitstream/handle/1874/273564/11-18.pdf (application/pdf)

Related works:
Journal Article: Expected Optimal Feedback with Time-Varying Parameters (2013)
Working Paper: Expected optimal feedback with Time-Varying Parameters (2007)
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