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The document discusses a linear-quadratic control problem and the certainty equivalence principle in robust control theory. It states that for a linear-quadratic control problem, the optimal control law and the matrix O that defines the problem do not depend on the volatility matrix C, meaning the shocks to the system. However, robust control theorists argue this solution is vulnerable to model misspecification. The document goes on to discuss replacing random shocks with deterministic model errors to captu

Author

kora

Language

EN