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How Robust is Robust Control in the Time Domain? Author info | Abstract | Publisher info | Download info | Related research | Statistics Marco P. Tucci ()
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
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Paper provided by Department of Economics, University of Siena in its series Department of Economics University of Siena with number
569.
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Date of creation: Sep 2009Date of revision:
Handle: RePEc:usi:wpaper:569Contact details of provider: Postal: Piazza S.Francesco,7 - 53100 Siena Phone: (39)(0577)298645 Fax: (39)(0577)298661 Email: Web page: http://www.econ-pol.unisi.it/ More information through EDIRC
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Keywords: Linear quadratic tracking problem ; optimal control ; robust control ; time-varying parameters ; Other versions of this item:
Find related papers by JEL classification: C61 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Optimization Techniques; Programming Models; Dynamic Analysis C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination
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