Filters








24,104 Hits in 3.4 sec

Robust Control and Model Misspecification [chapter]

2014 World Scientific Series in Economic Theory  
Alternative sequential and non-sequential versions of robust control theory imply identical robust decision rules that are dynamically consistent in a useful sense.  ...  A decision maker fears that data are generated by a statistical perturbation of an approximating model that is either a controlled diffusion or a controlled measure over continuous functions of time.  ...  In robust control theory it is called either his reference model or his approximating model.  ... 
doi:10.1142/9789814578127_0006 fatcat:v3qg24lgebca7m2l3zs6zogndu

Robust control and model misspecification

Lars Peter Hansen, Thomas J. Sargent, Gauhar Turmuhambetova, Noah Williams
2006 Journal of Economic Theory  
Alternative sequential and non-sequential versions of robust control theory imply identical robust decision rules that are dynamically consistent in a useful sense.  ...  A decision maker fears that data are generated by a statistical perturbation of an approximating model that is either a controlled diffusion or a controlled measure over continuous functions of time.  ...  In robust control theory it is called either his reference model or his approximating model.  ... 
doi:10.1016/j.jet.2004.12.006 fatcat:npw4v3osjver7kgdglgp6yf4da

Robust Constrained Reinforcement Learning for Continuous Control with Model Misspecification [article]

Daniel J. Mankowitz and Dan A. Calian and Rae Jeong and Cosmin Paduraru and Nicolas Heess and Sumanth Dathathri and Martin Riedmiller and Timothy Mann
2021 arXiv   pre-print
We refer to this as constrained model misspecification.  ...  Many real-world physical control systems are required to satisfy constraints upon deployment.  ...  Challenge 2 -Model Misspecification (MM): Many of these systems suffer from model misspecification.  ... 
arXiv:2010.10644v4 fatcat:qvjdotdagnhvhly5l4lpye4nem

Robust Reinforcement Learning for Continuous Control with Model Misspecification [article]

Daniel J. Mankowitz and Nir Levine and Rae Jeong and Yuanyuan Shi and Jackie Kay and Abbas Abdolmaleki and Jost Tobias Springenberg and Timothy Mann and Todd Hester and Martin Riedmiller
2020 arXiv   pre-print
We provide a framework for incorporating robustness -- to perturbations in the transition dynamics which we refer to as model misspecification -- into continuous control Reinforcement Learning (RL) algorithms  ...  We show that both, robust and soft-robust policies, outperform their non-robust counterparts in nine Mujoco domains with environment perturbations.  ...  RELATED WORK CONCLUSION We have presented a framework for incorporating robustness -to perturbations in the transition dynamics, which we refer to as model misspecification -into continuous control RL  ... 
arXiv:1906.07516v2 fatcat:kgysak64obechctgnmnsrhq72e

Model Uncertainty and Delegation: A Case for Friedman's k-Percent Money Growth Rule?

JUHA KILPONEN, KAI LEITEMO
2008 Journal of Money, Credit and Banking  
If there is uncertainty with regards to the determination of the delegated objective variables, the central bank will want robustness against potential model misspecifications.  ...  Imperfect control of money growth does not change this conclusion.  ...  from robust control literature (see Hansen and Sargent, 2003a) and augment the reference model with a vector of additive misspecification terms η t+1 .  ... 
doi:10.1111/j.1538-4616.2008.00127.x fatcat:xlfseplsvjf4nnpp5vverpyyfq

Robust monetary policy in a small open economy

Kai Leitemo, Ulf Söderström
2008 Journal of Economic Dynamics and Control  
Using a New Keynesian model of a small open economy, we solve analytically for the optimal robust policy rule and the equilibrium dynamics, and we separately analyze the consequences of central bank robustness  ...  We also demonstrate that the price of being robust to misspecification in the Phillips curve or the output equation comes in the form of higher output and exchange rate variability, whereas robustness  ...  The robust control formulation of model misspecification thus represents a fairly general approach to model uncertainty.  ... 
doi:10.1016/j.jedc.2008.02.002 fatcat:o7dfleao65hhzmn2ip6sangbxa

Robust Monetary Policy in a Small Open Economy

Kai Leitemo, Ulf Söderström
2005 Social Science Research Network  
Using a New Keynesian model of a small open economy, we solve analytically for the optimal robust policy rule and the equilibrium dynamics, and we separately analyze the consequences of central bank robustness  ...  We also demonstrate that the price of being robust to misspecification in the Phillips curve or the output equation comes in the form of higher output and exchange rate variability, whereas robustness  ...  The robust control formulation of model misspecification thus represents a fairly general approach to model uncertainty.  ... 
doi:10.2139/ssrn.727703 fatcat:nv3ozk6bxnhmbfrdz7chtuy6dy

Acknowledging Misspecification in Macroeconomic Theory

Lars Peter Hansen, Thomas J. Sargent
2001 Review of economic dynamics (Print)  
Using frequency domain methods, we show that robust decision makers treat model misspecification like time-series econometricians.  ...  We explore methods for confronting model misspecification in macroeconomics. We construct dynamic equilibria in which private agents and policy makers recognize that models are approximations.  ...  Acknowledging Misspecification in Macroeconomic Theory  ... 
doi:10.1006/redy.2001.0132 fatcat:mucixdhz4fef7ihzdqnaa2tk7m

Pollution control with uncertain stock dynamics: When, and how, to be precautious

Stergios Athanassoglou, Anastasios Xepapadeas
2012 Journal of Environmental Economics and Management  
This normative maxim is explored in the case of a stylized dynamic model of pollution control with uncertain (in the Knightian sense) stock dynamics, using the robust control framework of Hansen and Sargent  ...  In particular, when damage-control investment is both sufficiently cheap and sensitive to changes in uncertainty, damage-control investment and mitigation may act as substitutes and a PP with respect to  ...  Figure 2 : 2 Robust emissions policy for k = 1000 and different levels of model misspecification. Figure 3 : 3 Robust emissions policy for k = 5000 and different levels of model misspecification.  ... 
doi:10.1016/j.jeem.2011.11.001 fatcat:2twrtxmckvckbczwqkzmalvww4

Robust monetary policy under model uncertainty and inflation persistence

Li Qin, Moïse Sidiropoulos, Eleftherios Spyromitros
2013 Economic Modelling  
Using a simple monetary game model with misspecification, this paper shows that higher preference for robustness of central bank is positively associated with the inflation persistence and thus negatively  ...  This paper examines the relationship between the preference for robustness of central bank (when it fears that its model is misspecified), the inflation persistence and the output cost of disinflation.  ...  The standard robust control problem would have a common budget constraint on misspecification in all equations of the model.  ... 
doi:10.1016/j.econmod.2012.10.012 fatcat:xqkfswxkefc2tjo3k32jz3c7si

ROBUST MONETARY POLICY IN THE NEW KEYNESIAN FRAMEWORK

KAI LEITEMO, ULF SÖDERSTRÖM
2007 Macroeconomic Dynamics  
We study the effect of model uncertainty in a New Keynesian open-economy model using robust control techniques.  ...  Due to the simple model structure, we are able to solve a version of the robust control problem analytically, and we analyze the separate effects of uncertainty concerning the determination of inflation  ...  We apply robust control techniques developed by Hansen and Sargent (2004) and Giordani and Söderlind (2003) to a New Keynesian open-economy model developed by Galí and Monacelli (2004) and Clarida  ... 
doi:10.1017/s1365100507070058 fatcat:lx3sghio4fdcdcljzlt6guuxiu

Robust Monetary Policy in the New-Keynesian Framework

Kai Leitemo, Ulf Söderström
2004 Social Science Research Network  
We study the effect of model uncertainty in a New Keynesian open-economy model using robust control techniques.  ...  Due to the simple model structure, we are able to solve a version of the robust control problem analytically, and we analyze the separate effects of uncertainty concerning the determination of inflation  ...  We apply robust control techniques developed by Hansen and Sargent (2004) and Giordani and Söderlind (2003) to a New Keynesian open-economy model developed by Galí and Monacelli (2004) and Clarida  ... 
doi:10.2139/ssrn.627350 fatcat:3ivkwy6rhzgvhizawb76u7yps4

Robust Monetary Policy in the New-Keynesian Framework

Kai Leitemo, Ulf Söderström
2007 Social Science Research Network  
We study the effect of model uncertainty in a New Keynesian open-economy model using robust control techniques.  ...  Due to the simple model structure, we are able to solve a version of the robust control problem analytically, and we analyze the separate effects of uncertainty concerning the determination of inflation  ...  We apply robust control techniques developed by Hansen and Sargent (2004) and Giordani and Söderlind (2003) to a New Keynesian open-economy model developed by Galí and Monacelli (2004) and Clarida  ... 
doi:10.2139/ssrn.1020007 fatcat:d642wg2fnzekfjakyoll6j6m6m

Robust animal spirits

R.M. Bidder, M.E. Smith
2012 Journal of Monetary Economics  
By using perturbation methods and Monte Carlo techniques we extend the class of models analyzed with robust control methods to include the sort of nonlinear production-based DSGE models that are popular  ...  In a real business cycle model, an agent's fear of model misspecification interacts with stochastic volatility to induce time varying worst case scenarios.  ...  This paper was previously entitled 'Robust Control in a Nonlinear DSGE Model'.  ... 
doi:10.1016/j.jmoneco.2012.10.017 fatcat:bmfe7t25bffa5foxbxsoemt4em

Avoiding Nash Inflation: Bayesian and Robust Responses to Model Uncertainty

Robert J. Tetlow, Peter von zur Muehlen
2002 Social Science Research Network  
We examine learning, model misspecification, and robust policy responses to misspecification in a quasi-real-time environment.  ...  In the least parametric approach, the medicine of robust control turns out to be too potent for the disease of misspecification.  ...  Specifically, we use a simple model to jointly consider three things: learning by the monetary authority; model misspecification; and robust policies to counter the misspecification problems.  ... 
doi:10.2139/ssrn.299672 fatcat:rhtfqzhzfvaefm6xeb4gib5goe
« Previous Showing results 1 — 15 out of 24,104 results