Hello,

Regarding Robust LQC, is it possible to specify matrices Q and B in a way that resembles the pure forecasting problem formulation from “Robustness” (pg. 171) where Q and B are nxn matrices of zeros and the optimization problem reduces to minimizing worst-case shock Wt?

Given the current formulation, when assigning Q and B as nxn matrices of zeros an error is produced when calculating the Ricatti equation (by definition, matrix P depends on B when control U is defined).

Hope this was clear, thank you!