Related papers: Stability and Identification with Optimal Macropru…
This paper proposes a general incremental policy iteration adaptive dynamic programming (ADP) algorithm for model-free robust optimal control of unknown nonlinear systems. The approach integrates recursive least squares estimation with…
The main challenge for adaptive regulation of linear-quadratic systems is the trade-off between identification and control. An adaptive policy needs to address both the estimation of unknown dynamics parameters (exploration), as well as the…
In this paper, we present a generalization of the certainty equivalence principle of stochastic control. One interpretation of the classical certainty equivalence principle for linear systems with output feedback and quadratic costs is as…
In this paper, we study the performance of affine policies for two-stage adjustable robust optimization problem with fixed recourse and uncertain right hand side belonging to a budgeted uncertainty set. This is an important class of…
We consider the determination of the optimal stationary singular stochastic control of a linear diffusion for a class of average cumulative cost minimization problems arising in various financial and economic applications of stochastic…
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which are subjected to measure perturbations. Our main focus is…
We propose a general framework for studying optimal impulse control problem in the presence of uncertainty on the parameters. Given a prior on the distribution of the unknown parameters, we explain how it should evolve according to the…
In recent years, mutual information optimal control has been proposed as an extension of maximum entropy optimal control. Both approaches introduce regularization terms to render the policy stochastic, and it is important to theoretically…
We consider a frictionless constant endowment economy based on Leeper (1991). In this economy, it is shown that, under an ad-hoc monetary rule and an ad-hoc fiscal rule, there are two equilibria. One has active monetary policy and passive…
We study optimal investment problem for a diffusion market consisting of a finite number of risky assets (for example, bonds, stocks and options). Risky assets evolution is described by Ito's equation, and the number of risky assets can be…
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…
Algorithmic stability is a central concept in statistics and learning theory that measures how sensitive an algorithm's output is to small changes in the training data. Stability plays a crucial role in understanding generalization,…
This note proposes a data-driven output-feedback stabilizing policy iteration for unknown linear discrete-time systems with unmeasurable states. Existing policy iteration methods for optimal control must start from a stabilizing control…
This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of…
We consider the problem of optimizing the economic performance of nonlinear constrained systems subject to uncertain time-varying parameters and bounded disturbances. In particular, we propose an adaptive economic model predictive control…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…
A review of economic approaches showed the lack of a universal method for assessing management decisions in the face of an increasing volume of analyzed data and changing parameters of the external environment. The method of integral…
Assessment of the degree of boundedness/stability of multidimensional nonlinear systems with time-dependent and nonperiodic coefficients is an important problem in various applied areas which has no adequate resolution yet. Most of the…
Model agnostic controller learning, for instance by direct policy optimization, has been the object of renewed attention lately, since it avoids a computationally expensive system identification step. Indeed, direct policy search has been…
Optimal simple rules for the monetary policy of the first stochastically dominant crypto-currency are derived in a Dynamic Stochastic General Equilibrium (DSGE) model, in order to provide optimal responses to changes in inflation, output,…