Stochastic and robust control of nonlinear economic systems
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Publication:1330535
DOI10.1016/0377-2217(94)90267-4zbMath0821.90024OpenAlexW1978907413MaRDI QIDQ1330535
Publication date: 21 July 1994
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0377-2217(94)90267-4
decision making under uncertaintyrobust optimal policynonlinear economic systemsparametrized simple feedback decision rulessensitivity expression
Applications of mathematical programming (90C90) Economic growth models (91B62) Optimal stochastic control (93E20)
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Cites Work
- A method of stochastic subgradients with complete feedback stepsize rule for convex stochastic approximation problems
- Stochastic approximation methods for constrained and unconstrained systems
- On the choice of weighting matrices in the minimum variance controller
- Robust optimal decisions with stochastic nonlinear economic systems
- Robust Capacity Planning Under Uncertainty
- RISK MINIMIZATION BY LINEAR FEEDBACK
- Sensitivity analysis for nonlinear programming using penalty methods
- Nonlinear programming methods in the presence of noise
- Risk Aversion in the Small and in the Large
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