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Robust optimal policy methods for nonlinear models

Berc Rustem

Conference or Workshop Paper
28th IEEE Conference on Decision and Control
Volume 3
DOI 10.1109/CDC.1989.70527

Two types of robust policy are discussed. The first is due to uncertainty in the parameters or exogenous variables in the model. A method that is based on sensitivity analysis and reduces to a mean-variance optimization in the linear model case is presented. The second type of uncertainty is that due to the multiplicity of models purporting to represent the same economic system. A min-max algorithm is presented to solve this problem.

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