DocumentCode
1902445
Title
Robust optimal policy methods for nonlinear models
Author
Rustem, Berc
Author_Institution
Dept. of Comput., Imperial Coll. of Sci. Technol. & Med., London, UK
fYear
1989
fDate
13-15 Dec 1989
Firstpage
2050
Abstract
Two types of robust policy are discussed. The first is due to uncertainty in the parameters or exogenous variables in the model. A method that is based on sensitivity analysis and reduces to a mean-variance optimization in the linear model case is presented. The second type of uncertainty is that due to the multiplicity of models purporting to represent the same economic system. A min-max algorithm is presented to solve this problem
Keywords
economic cybernetics; minimax techniques; sensitivity analysis; economic system; mean-variance optimization; min-max algorithm; nonlinear models; optimal policy; robust policy; sensitivity analysis; uncertainty; Approximation algorithms; Difference equations; Econometrics; Educational institutions; Feedback; Macroeconomics; Robust control; Robustness; Stochastic processes; Uncertainty;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
Conference_Location
Tampa, FL
Type
conf
DOI
10.1109/CDC.1989.70527
Filename
70527
Link To Document