Stochastic and robust control of nonlinear economic systems
type: Item
instance of: scholarly article
title: Stochastic and robust control of nonlinear economic systems
zbMATH Open document ID: 0821.90024
DOI: 10.1016/0377-2217(94)90267-4
author: Berç Rustem
published in: European Journal of Operational Research
publication date: 1994-07-21T00:00:00Z
review text: A robust optimal policy formulation to decision making under uncertainty for nonlinear economic systems is considered (robust policy anticipates the possibility of a disturbance). The method used is an extension of the mean-variance approach usual for linear models to nonlinear systems and is in the context of parametrized simple feedback decision rules. The parameters are determined to minimize a convex combination of the original objective function and a sensitivity expression. The expectations of nonlinear systems can be calculated by evaluating the bias from certainty equivalent controls using Monte Carlo simulations. The sensitivity expression describing the robustness of the control can be chosen either as the variance of the original objective function or of the individual endogenous variables. Two numerical examples of the robust policy method are given.
Mathematics Subject Classification ID: 91B62
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 90C90
zbMATH DE Number: 609647
zbMATH Keywords: robust optimal policy
zbMATH Keywords: decision making under uncertainty
zbMATH Keywords: nonlinear economic systems
zbMATH Keywords: parametrized simple feedback decision rules
zbMATH Keywords: sensitivity expression
reviewed by: Tomáš Cipra
MaRDI profile type: Publication
full work available at URL: 0377-2217(94)90267-4
OpenAlex ID: W1978907413
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description: scientific article; zbMATH DE number 609647