Robust optimal decisions with stochastic nonlinear economic systems

DOI10.1016/0165-1889(94)90072-8zbMath0782.90018OpenAlexW1999976930MaRDI QIDQ1309838

V. Pereyra

Publication date: 28 February 1994

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)90072-8

zbMATH Keywords

Monte Carlo simulationsoptimal decisions for nonlinear systems

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic growth models (91B62) Stochastic systems in control theory (general) (93E03)

Related Items

Stochastic and robust control of nonlinear economic systems ⋮ Post-tax optimization with stochastic programming ⋮ Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty ⋮ Robust control: a note on the response of the control to changes in the ``free parameter conditional on the character of nature ⋮ Robustness of capacity rationing policies ⋮ Robust optimal decisions with imprecise forecasts

Cites Work

• Projection methods in constrained optimisation and applications to optimal policy decisions
• RISK MINIMIZATION BY LINEAR FEEDBACK
• Risk Aversion in the Small and in the Large
• Unnamed Item