This paper attempts to relate two apparently distinct literatures. One is the so-called `robust control' literature. Robust control methods were developed by engineers during the 1980s, and are designed to make traditional Linear-Quadratic control more robust to model misspecification. Rather than specify an explicit distribution for a model's disturbances, robust control methods are based on a worst-case analysis of the disturbances, and can be implemented by solving dynamic zero-sum games. Hansen and Sargent (2004) have pioneered the application of these methods in economics. Economists are attracted by robust control because it apparently provides a workable formalization of Knightian Uncertainty. (Copyright: Elsevier)
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