Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/322860 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Discussion Papers Series No. 11-18
Verlag: 
Utrecht University, Utrecht School of Economics, Tjalling C. Koopmans Research Institute, Utrecht
Zusammenfassung: 
In this paper we derive the closed loop form of the Expected Optimal Feedback rule, sometimes called passive learning stochastic control, with time varying parameters. As such this paper extends the work of Kendrick (1981,2002, Chapter 6) where parameters are assumed to vary randomly around a known constant mean. Furthermore, we show that the cautionary myopic rule in Beck and Wieland (2002) model, a test bed for comparing various stochastic optimizations approaches, can be cast into this framework and can be treated as a special case of this solution.
Schlagwörter: 
Optimal experimentation
stochastic optimization
time-varying parameters
expected optimal feedback
Dokumentart: 
Working Paper

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