Multivariate Rational Inattention
研究了多元线性二次高斯框架下的理性疏忽最优控制问题，提出用半定规划求解最优信号结构，并应用于三个多元经济模型，得到与文献不同的定性结果。
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.