How Robust is Robust Control in Discrete Time?

Marco P. Tucci ()
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Marco P. Tucci: Università di Siena

Computational Economics, 2021, vol. 58, issue 2, No 4, 279-309

Abstract: 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, in many situations relevant in economics, a decision maker applying robust control implicitly assumes that today’s worst-case adverse shock is serially uncorrelated with tomorrow’s worst-case adverse shock. Then, further investigation is needed to see how strong is the ‘immunization against uncertainty’ provided by these popular frameworks.

Keywords: Linear quadratic tracking problem; Optimal control; Robust optimization; Time-varying parameters (search for similar items in EconPapers)
JEL-codes: C61 C63 D81 D91 E52 E61 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s10614-020-10027-z

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