Abstract
Robust control is an approach for confronting model uncertainty in decision making, aiming at finding decision rules which perform well across a range of alternative models. This typically leads to a minimax approach, where the robust decision rule minimizes the worst-case outcome from the possible set. This article discusses the rationale for robust decisions, the background literature in control theory, and different approaches which have been used in economics, including the most prominent approach due to Hansen and Sargent.
This chapter was originally published in The New Palgrave Dictionary of Economics, 2nd edition, 2008. Edited by Steven N. Durlauf and Lawrence E. Blume
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Williams, N. (2008). Robust Control. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95121-5_2761-1
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DOI: https://doi.org/10.1057/978-1-349-95121-5_2761-1
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