Receding horizon control of jump linear systems and a macroeconomic policy problem

Article Abstract:

A study extended research on 1970s-era, time-invariant macroeconomic models to the investigation of stochastic models featuring time varying rather than fixed parameters, where changes in the model parameters may occur as abrupt changes in the short and medium term. The model was used to derive a solution to the receding-horizon control problem for discrete time, Markov jump linear systems with associated quadratic costs and restricted Markov state observation.

Econometrics & Model Building, Econometrics, Learning models (Stochastic processes), Macroeconomics, Business models, Stochastic models

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Markov bargaining games

Article Abstract:

The equilibrium in a Markov bargaining game, in which the value of good being traded typifies a Markov process, depends on the attitude of the buyer and the seller. An ex-ante inefficient equilibrium results when the seller is more patient than the buyer. On the other hand, an efficient equilibrium, which is characterized by immediate creation of an agreement, is generated when the seller is more impatient than the buyer.

Economics, Research and Development in the Social Sciences and Humanities, Negotiation, Negotiations

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Saddle-point calculation for constrained finite Markov chains

Article Abstract:

Examples illustrate this zero-sum game to optimize payoff. Two linear programs illustrate the same game.

Linear programming, Games of strategy (Mathematics)

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