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Recursive robust estimation and control without commitment

Lars Peter Hansen, Thomas J. Sargent
2007 Journal of Economic Theory  
We use these operators to extend the approach of Hansen and Sargent [Discounted linear exponential quadratic Gaussian control, IEEE Trans. Automat.  ...  A decision maker constructs a sequence of robust decision rules by pretending that a sequence of minimizing players choose increments to martingales and distortions to the prior over the hidden state.  ...  This material is based on work supported by the National Science Foundation under Award Numbers SES0519372 and SES0137035.  ... 
doi:10.1016/j.jet.2006.06.010 fatcat:7bkpp2lm4fgdle644b3o4u5tca

Robust estimation and control under commitment

Lars Peter Hansen, Thomas J. Sargent
2005 Journal of Economic Theory  
Başar and P. Bernhard [H ∞ -Optimal Control and Related Minimax Design Problems, second ed., Birkhauser, Basel, 1995] and P. Whittle [Risk-sensitive Optimal Control, Wiley, New York, 1990].  ...  We state conditions under which an equilibrium of the zero-sum game with commitment has a recursive representation that can be cast in terms of two risk-sensitivity operators.  ...  Acknowledgments We thank Fernando Alvarez, Jose Mazoy, Tomasz Piskorski, Gahuar Turmuhambetova, and an anonymous referee for helpful comments on earlier drafts of this paper.  ... 
doi:10.1016/j.jet.2005.06.006 fatcat:iocijuxrwrd6ze6kcwwrgdjqke

Robust Data-Driven Dynamic Programming

Grani Adiwena Hanasusanto, Daniel Kuhn
2013 Neural Information Processing Systems  
If training data is sparse, however, the estimated cost-to-go functions display a high variability and an optimistic bias, while the corresponding control policies perform poorly in out-of-sample tests  ...  In stochastic optimal control the distribution of the exogenous noise is typically unknown and must be inferred from limited data before dynamic programming (DP)-based solution schemes can be applied.  ...  As estimation errors in the cost-to-go functions are propagated through the dynamic programming recursions, the bias grows over time and thus incentivizes poor control decisions in the early time periods  ... 
dblp:conf/nips/HanasusantoK13 fatcat:5m7upfmbcjbjrn36tlc6le2va4

Randomized Controlled Trials without Data Retention [article]

Winston Chou
2021 arXiv   pre-print
Devoting special attention to non-i.i.d. data, we further show how to draw robust inferences from RCTs by combining recursive algorithms with bootstrap and federated strategies.  ...  In particular, we show how to use recursive algorithms to construct running estimates of treatment effects in RCTs, which allow individualized records to be deleted or anonymized shortly after collection  ...  ., committing to recursive estimation implies pre-specifying an analysis plan and greatly limits the scope forhacking and post-hoc specification search [14] .  ... 
arXiv:2102.03316v2 fatcat:ziannwkmw5f65mvebmljuklobu

Robust hidden Markov LQG problems

Lars Peter Hansen, Ricardo Mayer, Thomas Sargent
2010 Journal of Economic Dynamics and Control  
For linear quadratic Gaussian problems, this paper uses two risk-sensitivity operators defined by Hansen and Sargent (2007c) to construct decision rules that are robust to misspecifications of (1) transition  ...  In Games I, II, and III, the minimizing players' worst-case densities over hidden states are time inconsistent, while Game IV is an LQG version of a game of Hansen and Sargent (2005) that builds in time  ...  not discounted). 8.3 Step 2: given {Ω t }, compute the filter Hansen and Sargent (2005) derive the following recursions for the robust estimates.  ... 
doi:10.1016/j.jedc.2010.05.004 fatcat:mpm3rfpx3jfqnf5j7dlps2amzy

ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION

F. CONG, C. W. OOSTERLEE
2017 International Journal of Theoretical and Applied Finance  
In the experiments, the robustness of pre-commitment and time-consistent strategies is studied in detail.  ...  portfolio control only for one time step and conduct a risk-free strategy afterwards.  ...  Robust pre-commitment strategy We first consider the robust pre-commitment strategy, which has been formed in a recursive setting as in Definition 2.3.  ... 
doi:10.1142/s0219024917500492 fatcat:s2jvfgsok5bkdm523txcrkbnma

Winning the Peace Locally: UN Peacekeeping and Local Conflict

Andrea Ruggeri, Han Dorussen, Theodora-Ismene Gizelis
2016 International Organization  
It uses matching and recursive bivariate probit models with exogenous variables for temporal and spatial variation to deal with possible nonrandom assignment of the treatment.  ...  Local peacekeeping is expected to matter because it reassures local actors, deters resumption of armed hostilities, coerces parties to halt fighting, and makes commitment to agreements credible.  ...  data before further analysis using logit regression; alternatively we use recursive bivariate probit. 43 The number of observations of the pre-matched units is 14,146 without PKO and 736 with PKO.  ... 
doi:10.1017/s0020818316000333 fatcat:or6urkk7t5e6ln3t3edgj2tiji

Managing Mistrust

Andrea Ruggeri, Theodora-Ismene Gizelis, Han Dorussen
2012 Journal of Conflict Resolution  
It uses matching and recursive bivariate probit models with exogenous variables for temporal and spatial variation to deal with possible non-random assignment of the treatment.  ...  It uses matching and recursive bivariate probit models with exogenous variables for temporal and spatial variation to deal with possible non-random assignment of the treatment.  ...  data before further analysis using logit regression; alternatively we use recursive bivariate probit. 43 The number of observations of the pre-matched units is 14,146 without PKO and 736 with PKO.  ... 
doi:10.1177/0022002712448906 fatcat:qfpsbe52rvgtnhi67smqlotbwq

An Efficient Parametric Model-based Framework for Recursive Frequency/Spectrum Estimation of Nonstationary Signal

Kantipudi MVV Prasad, Dr. H.N. Suresh, Rajanikanth Aluvalu
2018 International Journal of Engineering & Technology  
The manuscript intends to a design a general form of computationally efficient parametric mechanism based model to estimate the recursive frequency/spectrum and describe the nonlinear signals which consists  ...  In this, anestimation approach of QR-disintegration based recursive slightest M-gauge (QRRLM) is utilized for estimation of recursive time-vareint model coefficients in non-linear environment conditionby  ...  The performance analysis gives that the estomation of VFFC-QRRLM is robust and accurate than the existing recursive approach for estimation of both the narrowband time shifting units and broadband units  ... 
doi:10.14419/ijet.v7i4.6.20227 fatcat:uqgciqbuzzghzibmwuquthx2s4

Robust State Space Filtering under Incremental Model Perturbations Subject to a Relative Entropy Tolerance [article]

Bernard C. Levy, Ramine Nikoukhah
2011 arXiv   pre-print
This game is shown to admit a saddle point whose structure is characterized by applying and extending results presented earlier in [1] for static least-squares estimation.  ...  This paper considers robust filtering for a nominal Gaussian state-space model, when a relative entropy tolerance is applied to each time increment of a dynamical model.  ...  in [14, Chap. 18] and [16] , [28] for robust filtering without commitment.  ... 
arXiv:1004.2519v2 fatcat:qkmfutdh7bdornwa22svq2zz5m

Exotic Preferences for Macroeconomists

David K. Backus, Bryan R. Routledge, Stanley E. Zin
2004 NBER macroeconomics annual  
We provide a user's guide to "exotic" preferences: nonlinear time aggregators, departures from expected utility, preferences over time with known and unknown probabilities, risksensitive and robust control  ...  We apply each to a number of classic problems in macroeconomics and finance, including consumption and saving, portfolio choice, asset pricing, and Pareto optimal allocations.  ...  Certainly robust control, recursive multiple priors, and temptation are significant additions to our repertoire. They also raise new questions about identification and estimation.  ... 
doi:10.1086/ma.19.3585343 fatcat:6sr2wsrwqjfpjmabdpgd2porqa

Causal effects of HIV on employment status in low-income settings

Jessica Ochalek, Paul Revill, Bernard van den Berg
2017 Economics and Human Biology  
This paper estimates the causal impact of being HIV positive on individual employment status using a recursive bivariate probit with male circumcision as the instrument to overcome the endogeneity arising  ...  This is supported by additional analysis using univariate probit regressions to assess the association between different levels of HIV illness (as measured by CD4 cell count) and the likelihood of employment  ...  Souza-Poza and Adriaan Kalwij, and attendees at the International Health Economics Association (iHEA) conference in Milan.  ... 
doi:10.1016/j.ehb.2017.09.001 pmid:28930699 fatcat:tarhcyjuwzhj3jsqtzle7pynca

A Recursive Deconvolution Approach to Disturbance Reduction

F. Fagnani, V. Maksimov, L. Pandolfi
2004 IEEE Transactions on Automatic Control  
Active noise control (ANC) uses an estimate of the noise affecting a system in order to remove its effect from the output.  ...  Other applications require instead that the noise be estimated from its effect on the system. This results in an adaptive feedback ANC, see a previous paper by Gan and Kuo.  ...  ACKNOWLEDGMENT The authors would like to thank the anonymous referees and the Associate Editor for their stimulating observations; in particular, for stimulating an extension of the results from a finite-time  ... 
doi:10.1109/tac.2004.829596 fatcat:ydbctz3advdwbafjglesathmym

Rule-based Monetary Policy under Central Bank Learning

Kalin Nikolov, Kosuke Aoki
2004 Social Science Research Network  
bank and private agents learn about the slopes of the IS and Phillips curve by recursive least squares2 and adjust expectations and policy in the light of the most recent parameter estimates.  ...  However, as Woodford (1999a) and Svensson and Woodford (2004) argue, the once-and-f or-all commitment implicit in the optimal equilibrium is not a practically useful concept, when the bank's knowledge  ...  We assume that the bank estimates K{t) and a{t) recursively.  ... 
doi:10.2139/ssrn.670143 fatcat:cats7qfc2vaifgnmhiupsx333y

Robust control and model misspecification

Lars Peter Hansen, Thomas J. Sargent, Gauhar Turmuhambetova, Noah Williams
2006 Journal of Economic Theory  
Several different two-player zero-sum games that yield robust decision rules and are related to one another, to the max-min expected utility theory of Gilboa and Schmeidler (1989) , and to the recursive  ...  Alternative sequential and non-sequential versions of robust control theory imply identical robust decision rules that are dynamically consistent in a useful sense.  ...  Hansen and Sargent (2005a) and Hansen and Sargent (2005b) use such martingales to pose robust control and estimation problems in Markov decision problems where some of the state variables are hidden  ... 
doi:10.1016/j.jet.2004.12.006 fatcat:npw4v3osjver7kgdglgp6yf4da
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