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| In-Koo Cho |
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| ''Convergence of Least Squares Learning in
Self-Referential Discontinuous Stochastic Models'' |
| ( 2001, Vol. 28 No.9 ) |
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| We examine the stability of rational expectations equilibria in the
class of models in which the decision of the individual agent is
discontinuous with respect to the state variables. Instead of
rational expectations, each agent learns the unknown parameters
through a recursive stochastic algorithm. If the agents the
estimated value function ``rapidly'' enough, then each agent learns
the true value function associated with the optimal action with probability, and almost always takes the optimal action asymptotically. |
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| Keywords: |
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| Manuscript Received : Apr 27 2001 | | Manuscript Accepted : Apr 27 2001 |
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