Robust Control: A Note on the Response of the Control to Changes in the 'Free' Parameter Conditional on the Character of Nature
Computational Economics, Vol. 24, pp. 223-238, 2004
Posted: 27 Aug 2008
Date Written: 2004
Abstract
In this paper an analytical framework similar to a robust control problem was developed for the one-state, one-control variable model to examine the response of the control variable to change in the "free" parameter. However, in contrast to Gonzalez and Rodriguez (2003), the sign multiplying the "free" parameter in the criterion function of the min-max problem is positive. We find that this set up ocrresponds to the case where nature is benevolent while the problem posed by Gonzalez and Rodriguez (2003) corresponds to a malevolent nature. We show that for the benevolent case, the solution is a minimum giving way to an ordinary control problem. In addition, the left side od the discontinuity in Gonzalez and Rodriguez (2003) corresponds to the benevolent case.
Keywords: Approximating Model, Optimal Control, Robustness
JEL Classification: C61, E61
Suggested Citation: Suggested Citation