Comparing robust control with optimal control with time-varying parameters

Marco P. Tucci

No 127, Computing in Economics and Finance 2004 from Society for Computational Economics

Abstract: This paper builds upon the work by Tucci and Kendrick (2001) in which the authors develop a quadratic form version of the robust permanent income and pricing model described in Hansen, Sargent and Tallerini (1999). Then using the parameter values given on p. 18 of the HST paper they compute the robust control solution using DUALI software. In this paper the original HST model is rewritten as a time-varying model and optimal optimal is applied to this model. The solution is then compared with the DUALI solution in Tucci and Kendrick (2001)

Keywords: Robust control; optimal control; time-varying parameters (search for similar items in EconPapers)
JEL-codes: C61 (search for similar items in EconPapers)
Date: 2004-08-11
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf4:127

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