EconPapers    
Economics at your fingertips  
 

Robustness of computer algorithms to simulate optimal experimentation problems

Thomas Cosimano (), Michael Gapen, David Kendrick () and Volker Wieland ()
Additional contact information
Michael Gapen: International Monetary Fund

No 32, Computing in Economics and Finance 2006 from Society for Computational Economics

Abstract: Three methods have been developed by the authors for solving optimal experimentation problems. David Kendrick (1981, 2002, Ch.10) uses quadratic approximation of the value function and linear approximation of the equation of motion to simulate general optimal experimentation (active learning) problems. Beck and Volker Wieland (2002) use dynamic programming methods to develop an algorithm for optimal experimentation problems. Cosimano (2003) and Cosimano and Gapen (2005) use the Perturbation method to develop an algorithm for solving optimal experimentation problems. The perturbation is in the neighborhood of the augmented linear regulator problems of Hansen and Sargent (2004). In this paper we take an example from Beck and Wieland which fits into the setup of all three algorithms. Using this example we examine the cost and benefits of the various algorithms for solving optimal experimentation problems.

JEL-codes: C44 C60 D81 D82 (search for similar items in EconPapers)
Date: 2006-07-04
New Economics Papers: this item is included in nep-cmp
References: Add references at CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://repec.org/sce2006/up.28241.1137610390.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecfa:32

Access Statistics for this paper

More papers in Computing in Economics and Finance 2006 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

 
Page updated 2020-04-01
Handle: RePEc:sce:scecfa:32