-
-
Notifications
You must be signed in to change notification settings - Fork 2.3k
New issue
Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.
By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.
Already on GitHub? Sign in to your account
RBLQ: add pure forecasting case #355
Conversation
@szokeb87 Many thanks. http://discourse.quantecon.org/t/robust-lqc-special-case/281 |
Thanks @szokeb87. Can we please add this case to the |
@mmcky Done |
quantecon/tests/test_robustlq.py
Outdated
@@ -1,8 +1,8 @@ | |||
""" | |||
Author: Chase Coleman |
There was a problem hiding this comment.
Choose a reason for hiding this comment
The reason will be displayed to describe this comment to others. Learn more.
Seems like your name should be added here 😉
@cc7768 this was just the cherry on the cake :) |
Thanks @szokeb87 this is looking great. |
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.