The Inconsistent Linear Quadratic Regulator

Tomas Bjork, Mariana Khapko () and Agatha Murgoci ()
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Mariana Khapko: University of Toronto
Agatha Murgoci: Ørsted

Chapter Chapter 19 in Time-Inconsistent Control Theory with Finance Applications, 2021, pp 195-198 from Springer

Abstract: Abstract In this chapter we study a simple time-inconsistent version of the linear quadratic regulator in continuous time. Time inconsistency enters through an explicit dependence on the initial state for the final quadratic term. Loosely speaking, we want to control a system such that the final state is close to the initial point while at the same time keeping the control energy small. As the starting point changes, the final target point also changes as time passes.

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-81843-2_19

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DOI: 10.1007/978-3-030-81843-2_19

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