The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Robust Control

  • Noah Williams
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2761

Abstract

Robust control is an approach for confronting model uncertainty in decision making, aiming at finding decision rules which perform well across a range of alternative models. This typically leads to a minimax approach, where the robust decision rule minimizes the worst-case outcome from the possible set. This article discusses the rationale for robust decisions, the background literature in control theory, and different approaches which have been used in economics, including the most prominent approach due to Hansen and Sargent.

Keywords

Ambiguity Ambiguity aversion Control theory Error modelling Kalman filtering Lagrange multipliers Linear quadratic control Max-min expected utility Minimax Model uncertainty Optimal control Perturbation Probability distribution Risk aversion Robust control Uncertainty aversion Unstructured uncertainty 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Noah Williams
    • 1
  1. 1.