Solving stochastic optimization models with learning and rational expectations

Solving stochastic optimization models with learning and rational expectations

In this paper we present a general single-agent stochastic dynamic optimization model that is capable of dealing with learning and with rational expectations. We obtain the solution by solving at every time step the rational expectations model and then applying existing optimization schemes to deriv...

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Veröffentlicht in:Economics letters 1995-04, Vol.48 (1), p.9-13
Hauptverfasser: Amman, Hans M., Kendrick, David A., Achath, Sudhakar
Format: Artikel
Sprache:eng
Schlagworte:
Forward variables
Learning
Rational expectations
Stochastic control
Stochastic models
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Zusammenfassung:In this paper we present a general single-agent stochastic dynamic optimization model that is capable of dealing with learning and with rational expectations. We obtain the solution by solving at every time step the rational expectations model and then applying existing optimization schemes to derive the optimal solution.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(95)98449-Y