How Robust is Robust Control in the Time Domain?

Marco P. Tucci ()

Department of Economics University of Siena from Department of Economics, University of Siena

Abstract: By applying robust control the decision maker wants to make good decisions when his model is only a good approximation of the true one. Such decisions are said to be robust to model misspecification. In this paper it is shown that both a “probabilistically sophisticated” and a non-“probabilistically sophisticated” decision maker applying robust control in the time domain are indeed assuming a very special kind of “misspecification of the approximating model.” This is true when unstructured uncertainty à la Hansen and Sargent is used or when uncertainty is related to unknown structural parameters of the model

Keywords: Linear quadratic tracking problem; optimal control; robust control; time-varying parameters (search for similar items in EconPapers)
JEL-codes: C61 C63 D81 D91 E52 E61 (search for similar items in EconPapers)
Date: 2009-09
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:usi:wpaper:569

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