Is a sophisticated agent always a wise one?
Optimization and Control
2023-07-26 v2
Abstract
For time inconsistent optimal control problems, a quite popular approach is the equilibrium approach, taken by the sophisticated agents. In this short note we construct a deterministic continuous time example where the unique equilibrium is dominated by another control. Therefore, in this situation it may not be wise to take the equilibrium strategy.
Cite
@article{arxiv.2304.12273,
title = {Is a sophisticated agent always a wise one?},
author = {Jianfeng Zhang},
journal= {arXiv preprint arXiv:2304.12273},
year = {2023}
}