Recursive robust estimation and control without commitment
نویسندگان
چکیده
منابع مشابه
Recursive robust estimation and control without commitment
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 alter...
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In a Markov decision problem with hidden state variables, a posterior distribution serves as a state variable and Bayes’ law under the 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 represen...
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In a Markov decision problem with hidden state variables, 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. Within a two-player zero-sum game under commitment, a minimizing player chooses a martingale at time...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2007
ISSN: 0022-0531
DOI: 10.1016/j.jet.2006.06.010