How Robust is Robust Control in the Time Domain?

By applying robust control the decision maker wants to make good decisions when his model is only a good approximation of the true one. Such decisions are said to be robust to model misspecification. In this paper it is shown that both a “probabilistically sophisticated” and a non-“probabilistically sophisticated” decision maker applying robust control in the time domain are indeed assuming a very special kind of “misspecification of the approximating model.” This is true when unstructured uncertainty à la Hansen and Sargent is used or when uncertainty is related to unknown structural parameters of the modelLinear quadratic tracking problem, optimal control, robust control, time-varying parameters

Evaluating Research Activity:Impact Factor vs. Research Factor

The Impact Factor (IF) “has moved ... from an obscure bibliometric indicator to become the chief quantitative measure of the quality of a journal, its research papers, the researchers who wrote those papers, and even the institution they work in” ([2], p. 1). However, the use of this index for evaluating individual scientists is dubious. The present work compares the ranking of research units generated by the Research Factor (RF) index with that associated with the popular IF. The former, originally introduced in [38], reflects article and book publications and a host of other activities categorized as coordination activities (e.g., conference organization, research group coordination), dissemination activities (e.g., conference and seminar presentations, participation in research group), editorial activities (e.g., journal editor, associate editor, referee) and functional activities (e.g., Head of Department). The main conclusion is that by replacing the IF with the RF in hiring, tenure decisions and awarding of grants would greatly increase the number of topics investigated and the number and quality of long run projects.scientific research assessment, Impact Factor, bibliometric indices, feasible Research Factor

Cross-correlation of the CMB and radio galaxies in real, harmonic and wavelet spaces: detection of the integrated Sachs-Wolfe effect and dark energy constraints

We report the first detection of the ISW effect in wavelet space, at scales in the sky around 7 degrees with a significance of around 3.3 sigma, by cross-correlating the WMAP first-year data and the NRAO VLA Sky Survey (NVSS). In addition, we present a detailed comparison among the capabilities of three different techniques for two different objectives: to detect the ISW and to put constraints in the nature of the dark energy. The three studied techniques are: the cross-angular power spectrum (CAPS, harmonic space), the correlation function (CCF, real space) and the covariance of the Spherical Mexican Hat Wavelet (SMHW) coefficients (CSMHW, wavelet space). We prove that the CSMHW is expected to provide a higher detection of the ISW effect for a certain scale. This prediction has been corroborated by the analysis of the data. The SMHW analysis shows that the cross-correlation signal is caused neither by systematic effects nor foreground contamination. However, by taking into account the information encoded in all the multipoles/scales/angles, the CAPS provides slightly better constraints than the SMHW in the cosmological parameters that define the nature of the dark energy. The limits provided by the CCF are wider than for the other two methods. Two different cases have been studied: 1) a flat Lambda-CDM universe and 2) a flat universe with an equation of state parameter different from -1. In the first case, the CAPS provides (for a bias value of b = 1.6) 0.59 < Lambda density < 0.84 (at 1 sigma CL). Moreover, the CAPS rejects the range Lambda density < 0.1 at 3.5 sigma, which is the highest detection of the dark energy reported up to date. In the second case, the CAPS gives 0.50 < dark energy density < 0.82 and -1.16 < w < 0.43 (at 1 sigma CL).Comment: 12 pages, 7 figures, accepted for publication in MNRAS. Analysis redone. Changes in the estimation of the cosmological parametres. Additional comparison between wavelets and more standard technique

The usual robust control framework in discrete time: some interesting results

By applying robust control the decision maker wants to make good decisions when his model is only a good approximation of the true one. Such decisions are said to be robust to model misspecification. In this paper it is shown that the application of the usual robust control framework in discrete time problems is associated with some interesting, if not unexpected, results. Results that have far reaching consequences when robust control is applied sequentially, say every year in fiscal policy or every quarter (month) in monetary policy. This is true when unstructured uncertainty à la Hansen and Sargent is used, both in the case of a “probabilistically sophisticated” and a non-“probabilistically sophisticated” decision maker, or when uncertainty is related to unknown structural parameters of the model

Expected optimal feedback with Time-Varying Parameters

In this paper we derive the closed loop form of the Expected Optimal Feedback rule, sometimes called passive learning stochastic control, with time varying parameters. As such this paper extends the work of Kendrick (1981,2002, Chapter 6) where parameters are assumed to vary randomly around a known constant mean. Furthermore, we show that the cautionary myopic rule in Beck and Wieland (2002) model, a test bed for comparing various stochastic optimizations approaches, can be cast into this framework and can be treated as a special case of this solution.Optimal experimentation, stochastic optimization, time-varying parameters, expected optimal feedback

Expected optimal feedback with Time-Varying Parameters

In this paper we derive, by using dynamic programming, the closed loop form of the Expected Optimal Feedback rule with time varying parameter. As such this paper extends the work of Kendrick (1981, 2002, Chapter 6) for the time varying parameter case. Furthermore, we show that the Beck and Wieland (2002) model can be cast into this framework and can be treated as a special case of this solution.

An electrical model for the Korteweg-de Vries equation

In this paper we describe an electrical network, whose current evolution does agree with a Korteweg\u2013de Vries equation. Our aim is to prepare pupils to understand the analytical aspects of nonlinear and dispersive phenomena, which very often are neglected in high-school and graduate textbooks. Some historical remarks introduce the topic and a bibliography is provided. \ua9 1984, American Association of Physics Teachers

The Dual Approch in an Infinite Horizon Model with a Time-Varying Parameter

In a previous paper Amman and Tucci (2017) discuss the DUAL control method, based on Tse and Bar-Shalom (1973) and (Kendrick, 1981) seminal works, applied to the BMW infinite horizon model with an unknown but constant parameter. In these pages the DUAL solution to the BMW infinite horizon model with one time-varying parameter is reported. The special case where the desired path for the state and control are set equal to 0 and the linear system has no constant is considered. The appropriate Riccati quantities for the augmented system are derived and the time- invariant feedback rule are defined following the same steps as in Amman and Tucci (2017). Finally the new approximate cost-to-go is presented. Two cases are considered. In the first one the optimal control is selected using the updated estimate of the time-varying parameter in the model. In the second one only an old estimate of that parameter is available at the time the decision maker chooses her/his control. For the reader’s sake, most of the technical derivations are confined to a number of short appendices