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Multivariate Rational Inattention
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AI
DOI：10.3982/ECTA18086.png)
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摘要
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We study optimal control problems in the multivariate linear-quadratic-Gaussian framework under rational inattention. We propose a three-step procedure to solve this problem using semidefinite programming and derive the optimal signal structure without strong prior restrictions. We analyze both the transition dynamics of the optimal posterior covariance matrix and its steady state. We characterize the optimal information structure for some special cases and develop numerical algorithms for general cases. Applying our methods to solve three multivariate economic models, we obtain some results qualitatively different from the literature.
Keyword:
Rational inattention
endogenous information choice
tracking problem
optimal control
entropy
semidefinite program
期刊
IF:
7.1
论文数:
3.0K
被引数:
4.3W
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