I analyse the solution method for the variational optimisation problem in the
rational inattention framework proposed by Christopher A. Sims. The solution,
in general, does not exist, although it may exist in exceptional cases. I show
that the solution does not exist for the quadratic and the logarithmic
objective functions analysed by Sims (2003, 2006). For a linear-quadratic
objective function a solution can be constructed under restrictions on all but
one of its parameters. This approach is, therefore, unlikely to be applicable
to a wider set of economic models
