Time Inconsistency of Robust Control?
نویسندگان
چکیده
This paper discusses senses in which alternative representations of the preferences that underlie robust control theory are or are not time consistent. The multiplier preferences of Hansen, Sargent, Turmuhambetova, and Williams (2006) are time consistent by construction. So too are their constraint preference, provided that continuation entropy is carried along as an additional state variable. The min-max expected utility theory of Gilboa and Schmeidler (1989) depicts preferences using multiple prior distributions, a set of distributions that robust control theory specifies in a very parsimonious way.
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