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RBLQ: add pure forecasting case #355

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merged 5 commits into from Oct 23, 2017

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szokeb87 commented Oct 21, 2017

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.

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coveralls commented Oct 21, 2017

Coverage Status

Coverage decreased (-0.07%) to 94.767% when pulling 05cbb3c on szokeb87:master into 707f8aa on QuantEcon:master.

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coveralls commented Oct 21, 2017

Coverage Status

Coverage decreased (-0.07%) to 94.767% when pulling 776a8bf on szokeb87:master into 707f8aa on QuantEcon:master.

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jstac commented Oct 22, 2017

@szokeb87 Many thanks.
@mmcky For background, @szokeb87 has added this functionality in response to

http://discourse.quantecon.org/t/robust-lqc-special-case/281

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mmcky commented Oct 22, 2017

Thanks @szokeb87. Can we please add this case to the test_robustlq suite?

@mmcky mmcky added the in-work label Oct 23, 2017

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szokeb87 commented Oct 23, 2017

@mmcky Done

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coveralls commented Oct 23, 2017

Coverage Status

Coverage increased (+0.02%) to 94.855% when pulling 245670c on szokeb87:master into 707f8aa on QuantEcon:master.

@@ -1,8 +1,8 @@
"""
Author: Chase Coleman

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cc7768 Oct 23, 2017

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Seems like your name should be added here 😉

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szokeb87 commented Oct 23, 2017

@cc7768 this was just the cherry on the cake :)

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coveralls commented Oct 23, 2017

Coverage Status

Coverage increased (+0.02%) to 94.855% when pulling 2aa5e6c on szokeb87:master into 707f8aa on QuantEcon:master.

@mmcky mmcky added ready and removed in-work labels Oct 23, 2017

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mmcky commented Oct 23, 2017

Thanks @szokeb87 this is looking great.

@mmcky mmcky merged commit befc673 into QuantEcon:master Oct 23, 2017

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