Optimal experimentation and the perturbation method in the neighborhood of the augmented linear regulator problem

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2008
Volume: 32
Issue: 6
Pages: 1857-1894

Score contribution per author:

2.018 = (α=2.02 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The perturbation method is used to approximate optimal experimentation problems. The approximation is in the neighborhood of the linear regulator (LR) problem. The first order perturbation of the optimal decision under experimentation is a combination of the LR solution and a term that captures the impact of the uncertainty on the agent's value function. An algorithm is developed in a companion paper to quickly implement this procedure on the computer. As a result, the impact of optimal experimentation on an agent's decisions can be quantified and estimated for a large class of problems encountered in economics.

Technical Details

RePEc Handle
repec:eee:dyncon:v:32:y:2008:i:6:p:1857-1894
Journal Field
Macro
Author Count
1
Added to Database
2026-01-25