Learning or Robust Control
نویسندگان
چکیده
Model mis-specification can cause substantial utility losses in portfolio planning. In this paper, we compare two approaches to cope with this problem, robust control and learning. We derive the optimal portfolio strategies and the utility losses due to model mis-specification. Surprisingly, neither learning nor robust control is uniformly superior to the naive approach where the investor simply ignores model risk. Furthermore, a comparison of the two approaches shows that learning takes some time to have an impact, so that short-term investors are in some (but not all) cases better off with robust control than with learning.
منابع مشابه
Perfect Tracking of Supercavitating Non-minimum Phase Vehicles Using a New Robust and Adaptive Parameter-optimal Iterative Learning Control
In this manuscript, a new method is proposed to provide a perfect tracking of the supercavitation system based on a new two-state model. The tracking of the pitch rate and angle of attack for fin and cavitator input is of the aim. The pitch rate of the supercavitation with respect to fin angle is found as a non-minimum phase behavior. This effect reduces the speed of command pitch rate. Control...
متن کاملAlleviating the Small-Signal Oscillations of the SMIB Power System with the TLBO–FPSS and SSSC Robust Controller
Power systems are subjected to small–signal oscillations that can be caused by sudden change in the value of large loads. To avoid the dangers of these oscillations, the Power System Stabilizers (PSSs) are used. When the PSSs can not be effective enough, installation of the Thyristor–based compensators to increase the oscillations damping is a suitable method. In this paper, a Static Synchronou...
متن کاملThe emotive brain, the noradrenergic system, and cognition
Motivation and attention can have a profound influence on perception, learning and memory. Neuromodulatory systems, especially the noradrenergic (NE) system, co-vary with psychological states to modulate cortical arousal, influence sensory processing and promote synaptic plasticity. There is even some suggestion that the NE system might facilitate functional recovery after brain damage. Post-sy...
متن کاملThe emotive brain, the noradrenergic system, and cognition
Motivation and attention can have a profound influence on perception, learning and memory. Neuromodulatory systems, especially the noradrenergic (NE) system, co-vary with psychological states to modulate cortical arousal, influence sensory processing and promote synaptic plasticity. There is even some suggestion that the NE system might facilitate functional recovery after brain damage. Post-sy...
متن کاملReinforcement Learning Based PID Control of Wind Energy Conversion Systems
In this paper an adaptive PID controller for Wind Energy Conversion Systems (WECS) has been developed. Theadaptation technique applied to this controller is based on Reinforcement Learning (RL) theory. Nonlinearcharacteristics of wind variations as plant input, wind turbine structure and generator operational behaviordemand for high quality adaptive controller to ensure both robust stability an...
متن کاملA Robust Dispersion Control Chart Based on M-estimate
Process control charts are proven techniques for improving quality. Specifying the control limits is the most important step in designing a control chart. The presence of outliers may extremely affect the estimates of parameters using classical methods. Robust estimators which are not affected by outliers or the small departures from the model assumptions are applied in this paper to specify th...
متن کامل