EconPapers    
Economics at your fingertips  
 

The usual robust control framework in discrete time: Some interesting results

Marco Paolo 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 the application of the usual robust control framework in discrete time problems is associated with some interesting, if not unexpected, results. Results that have far reaching consequences when robust control is applied sequentially, say every year in fiscal policy or every quarter (month) in monetary policy. This is true when unstructured uncertainty à la Hansen and Sargent is used, both in the case of a “probabilistically sophisticated” and a non-“probabilistically sophisticated” decision maker, 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: 2019-12
New Economics Papers: this item is included in nep-mac and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://repec.deps.unisi.it/quaderni/815.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:usi:wpaper:815

Access Statistics for this paper

More papers in Department of Economics University of Siena from Department of Economics, University of Siena Contact information at EDIRC.
Bibliographic data for series maintained by Fabrizio Becatti ().

 
Page updated 2021-03-23
Handle: RePEc:usi:wpaper:815