Title :
Maximum principle for decentralized stochastic differential decision systems
Author :
Charalambous, Charalambos D. ; Ahmed, N.U.
Author_Institution :
Fac. of Electr. Eng., Univ. of Cyprus, Nicosia, Cyprus
Abstract :
In this paper we derive team and Person-by-Person (PbP) optimality conditions for Itô SDEs with nonclassical information structures. The optimality conditions are given in terms of a Hamiltonian System described by coupled backward and forward SDEs and conditional Hamiltonians, conditioned on the information structures, for regular (measurable functions) and relaxed strategies (conditional distributions).
Keywords :
multivariable systems; stochastic systems; Hamiltonian system; Itô SDEs; PbP optimality condition; conditional Hamiltonians; conditional distributions; coupled backward SDE; coupled forward SDE; decentralized stochastic differential decision systems; measurable functions; nonclassical information structures; person-by-person optimality condition; relaxed strategies; team optimality condition; Aerospace electronics; Educational institutions; Equations; Optimal control; Stochastic systems; Topology; Zinc;
Conference_Titel :
Decision and Control (CDC), 2014 IEEE 53rd Annual Conference on
Conference_Location :
Los Angeles, CA
Print_ISBN :
978-1-4799-7746-8
DOI :
10.1109/CDC.2014.7039667
