Recursive robust estimation and control without commitment

  title={Recursive robust estimation and control without commitment},
  author={Lars Peter Hansen and Thomas J. Sargent},
  journal={J. Economic Theory},
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 as measured by their expected log likelihood ratios (entropies). Sets of martingales represent alternative models. A decision maker constructs a sequence of robust decision rules by pretending… CONTINUE READING
Highly Cited
This paper has 77 citations. REVIEW CITATIONS



Citations per Year

77 Citations

Semantic Scholar estimates that this publication has 77 citations based on the available data.

See our FAQ for additional information.