Understanding the Difference Between Robust Control and Optimal Control in a Linear Discrete-Time System with Time-Varying Parameters

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• 作者：MARCO P. TUCCI
• 关键词：Robust control ; optimal control ; time ; varying parameters
• 刊名：Computational Economics
• 出版年：2006
• 出版时间：June 2006
• 年：2006
• 卷：27
• 期：4
• 页码：533-558
• 全文大小：282 KB

文摘

Robust control has been a very popular area of research in the last two decades. The goal of this paper is to investigate the assumptions implicit in the “nonprobabilistic nature” of the a priori information used to derive the linear-quadratic robust control in discrete-time. This is done by comparing robust control with the optimal control for a linear system with time-varying parameters. First the theoretical differences between the two approaches are discussed. Then they are used in two numerical examples: a simple model with one control, one state and a time horizon of two periods, which is suitable for hand calculations, and the permanent income model. The main conclusion is that the decision maker applying robust control is indeed assuming a very restricted class of true, unknown models.