Recursive Robust Estimation and Control Without Commitment

@inproceedings{Hansen2007RecursiveRE,
  title={Recursive Robust Estimation and Control Without Commitment},
  author={Lars Peter Hansen and Thomas J. Sargent},
  booktitle={J. Econ. Theory},
  year={2007}
}
  • L. Hansen, T. Sargent
  • Published in J. Econ. Theory 1 September 2007
  • Mathematics, Computer Science
In a Markov decision problem with hidden state variables, a posterior distribution serves as a state variable and Bayes' law under an approximating model gives its law of motion. A decision maker expresses fear that his model is misspecified by surrounding it with a set of alternatives that are nearby when measured by their expected log likelihood ratios (entropies). Martingales represent alternative models. A decision maker constructs a sequence of robust decision rules by pretending that a… Expand
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