RBLQ: add pure forecasting case #355
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mmcky merged 5 commits intoQuantEcon:masterfrom Oct 23, 2017
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@szokeb87 Many thanks. http://discourse.quantecon.org/t/robust-lqc-special-case/281 |
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Thanks @szokeb87. Can we please add this case to the |
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@mmcky Done |
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Oct 23, 2017
| @@ -1,8 +1,8 @@ | |||
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| Author: Chase Coleman | |||
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Seems like your name should be added here 😉
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@cc7768 this was just the cherry on the cake :) |
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Thanks @szokeb87 this is looking great. |
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Adds the following case:
If Q and B are zero matrices, RBLQ assumes that the user wants to solve a "pure forecasting problem" defined on p171 in Robustness (Hansen and Sargent, 2008).
It is assumed that the user sets up the problem in a way that "eliminates" F. This involves redefining the R and A matrices in equations (1) and (2) (of this lecture) as
R_adj = R + F'QF
A_adj = A - BF
Then, using R_adj, A_adj, C with Q=B=0 (zero matrices), RBLQ returns a K which is the worst-case with respect to the proposed policy F.