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The Inconsistent Linear Quadratic Regulator

In: Time-Inconsistent Control Theory with Finance Applications

Author

Listed:
  • Tomas Björk

    (Stockholm School of Economics)

  • Mariana Khapko

    (University of Toronto)

  • Agatha Murgoci

    (Ørsted)

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.

Suggested Citation

  • Tomas Björk & Mariana Khapko & Agatha Murgoci, 2021. "The Inconsistent Linear Quadratic Regulator," Springer Finance, in: Time-Inconsistent Control Theory with Finance Applications, chapter 0, pages 195-198, Springer.
    • Handle: RePEc:spr:sprfcp:978-3-030-81843-2_19
    DOI: 10.1007/978-3-030-81843-2_19
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