Any plans to introduce an LQC framework with robustness?

Author: Anthony Shkrelja

“Robustness,” by Hansen and Sargent (2008), introduces robustness within a Linear-Quadratic Control framework.

Do plans exist to produce a module embedding robustness?

Hi Anthony,

Thanks for your suggestions. We have this lecture on robustness, which comes with the code found here. Does that cover your needs or was there some other functionality that you wanted?


Brilliant! I’ll take a deep dive into the material, thank you.