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Optimal Adaptive Control Methods for Structurally Varying Systems / Alexander H. Sarris, Michael Athans.
Author
Sarris, Alexander H.
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Format
Book
Language
English
Published/​Created
Cambridge, Mass. National Bureau of Economic Research 1973.
Cambridge, Mass. : National Bureau of Economic Research, 1973.
Description
1 online resource: illustrations (black and white);
Details
Subject(s)
Econometrics
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Related name
National Bureau of Economic Research
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Athans, Michael
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Series
Working Paper Series (National Bureau of Economic Research) no. w0024.
[More in this series]
NBER working paper series no. w0024
Summary note
The problem of simultaneously identifying and controlling a time-varying, perfectly-observed linear system is posed. The parameters are assumed to obey a Markov structure and are estimated with a Kalman filter. The problem can be solved conceptually by dynamic programming, but even with a quadratic loss function the analytical computations cannot be carried out for more than one step because of the dual nature of the optimal control law. All approximations to the solution that have been proposed in the literature, and two approximations that are presented here for the first time are analyzed. They are classified into dual and non-dual methods. Analytical comparison is untractable; hence Monte Carlo simulations are used. A set of experiments is presented in which five non-dual methods are compared. The numerical results indicate a possible ordering among these approximations.
Notes
December 1973.
Bibliographic references
Includes bibliographical references.
Source of description
Print version record
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