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Robust Control and Model Misspecification
[chapter]
2014
World Scientific Series in Economic Theory
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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
2006
Journal of Economic Theory
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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]
2021
arXiv
pre-print
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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]
2020
arXiv
pre-print
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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?
2008
Journal of Money, Credit and Banking
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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
2008
Journal of Economic Dynamics and Control
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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
2005
Social Science Research Network
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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
2001
Review of economic dynamics (Print)
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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
2012
Journal of Environmental Economics and Management
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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
2013
Economic Modelling
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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
2007
Macroeconomic Dynamics
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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
2004
Social Science Research Network
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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
2007
Social Science Research Network
Preserved Fulltext
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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
2012
Journal of Monetary Economics
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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
2002
Social Science Research Network
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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
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