Duali: Software for Solving Stochastic Control Problems in Economics

David Kendrick, Marco P. Tucci () and Hans Amman
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Marco P. Tucci: Università di Siena

A chapter in Computational Methods in Financial Engineering, 2008, pp 393-419 from Springer

Abstract: Abstract Currently there is a renewed interest in the use of optimal experimentation (adaptive control) in economics. The Methods Comparison Project deals with comparing various methods for solving optimal experimentation economic models. In this context, the Beck and Wieland model and the methodology to solve this model with time-varying parameters using adaptive control is introduced. Numerical results for this model using the DualPC software are also presented.

Keywords: Active learning; dual control; optimal experimentation; stochastic optimization; time-varying parameters; numerical experiments (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1007/978-3-540-77958-2_18

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