کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099329 1377000 2008 38 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem
چکیده انگلیسی
The perturbation method is used to approximate optimal experimentation problems. The approximation is in the neighborhood of the linear regulator (LR) problem. The first order perturbation of the optimal decision under experimentation is a combination of the LR solution and a term that captures the impact of the uncertainty on the agent's value function. An algorithm is developed in a companion paper to quickly implement this procedure on the computer. As a result, the impact of optimal experimentation on an agent's decisions can be quantified and estimated for a large class of problems encountered in economics.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 6, June 2008, Pages 1857-1894
نویسندگان
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