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Recursive robust estimation and control without commitment
2007
Journal of Economic Theory
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 alternative models. A decision maker constructs a sequence of robust decision rules by pretending that a
doi:10.1016/j.jet.2006.06.010
fatcat:7bkpp2lm4fgdle644b3o4u5tca