On Solving the Augmented Regulator Problem with Discounting

Hansen and Sargent (2007) adapted and extended robust control theory for macroeconomic problems, and have almost constructed a complete and systematical theory on economic robust control. However, their ways solving the augmented regulator problem with discounting are not only vague and scattered, some results cannot derived directly. This paper gives the solving method for the problem following their original methods solving the augmented regulator problem and the deterministic regulator problem in matrix, and verifies the relevant results.