Multivariate LQG Control under Rational Inattention in Continuous Time
连续时间合理无意识下的多元LQG控制

摘要：
我提出了一个在连续时间内具有合理注意力的多元线性二次高斯控制框架。我提出了一个三步求解程序和数值方法。关键步骤是将问题转换为速率失真问题，并得出半定程序表示。我为某些特殊情况提供通用的反向注水解决方案，并描述最佳信号尺寸。我运用我的方法来研究消费/储蓄问题，并说明文献中的两个陷阱。

AbstractI propose a multivariate linear-quadratic-Gaussian control framework with rational inattention in continuous time. I propose a three-step solution procedure and numerical methods. The critical step is to transform the problem into a rate distortion problem and derive a semidefinite programming representation. I provide generalized reverse water-filling solutions for some special cases and characterize the optimal signal dimension. I apply my approach to study a consumption/saving problem and illustrate two pitfalls in the literature.

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