Title :
Robust optimal policy methods for nonlinear models
Author_Institution :
Dept. of Comput., Imperial Coll. of Sci. Technol. & Med., London, UK
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;
Conference_Titel :
Decision and Control, 1989., Proceedings of the 28th IEEE Conference on
Conference_Location :
Tampa, FL
DOI :
10.1109/CDC.1989.70527
