SOLVING STOCHASTIC OPTIMIZATION MODELS WITH LEARNING AND RATIONAL-EXPECTATIONS

被引：6

作者：

AMMAN, HM ^{[1
]}

KENDRICK, DA ^{[1
]}

ACHATH, S ^{[1
]}

机构：

[1] UNIV AMSTERDAM,DEPT MACROECON,1018 WB AMSTERDAM,NETHERLANDS

来源：

ECONOMICS LETTERS | 1995年 / 48卷 / 01期

关键词：

LEARNING; STOCHASTIC CONTROL; RATIONAL EXPECTATIONS; FORWARD VARIABLES;

D O I：

10.1016/0165-1765(95)98449-Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：9 / 13

页数：5

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