NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Michael Athans

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NBER Working Papers and Publications

December 1977The Effects of Discounted Cost on the Uncertainty Threshold Principle
with Richard Ku
in Annals of Economic and Social Measurement, Volume 6, number 5, Sanford V. Berg, editor
December 1973Optimal Adaptive Control Methods for Structurally Varying Systems
with Alexander H. Sarris: w0024
The problem of simultaneously identifying and controlling a time-varying, perfectly-observed linear system is posed. The parameters are assumed to obey a Markov structure and are estimated with a Kalman filter. The problem can be solved conceptually by dynamic programming, but even with a quadratic loss function the analytical computations cannot be carried out for more than one step because of the dual nature of the optimal control law. All approximations to the solution that have been proposed in the literature, and two approximations that are presented here for the first time are analyzed. They are classified into dual and non-dual methods. Analytical comparison is untractable; hence Monte Carlo simulations are used. A set of experiments is presented in which five non-dual method...
October 1972Introduction to Stochastic Control Theory and Economic Systems
with Gregory Chow
in Annals of Economic and Social Measurement, Volume 1, number 4, Sanford V. Berg, editor
The Discrete Time Linear-Quadratic-Gaussian Stochastic Control Problem
in Annals of Economic and Social Measurement, Volume 1, number 4, Sanford V. Berg, editor
 
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