Stochastic control of linear systems with nonclassical information and an arbitrary number of controllers

The paper addresses both the discrete and continuous time linear-quadratic control problem with an arbitrary number of controllers each of which is making proprietary measurements. To force a tractable solution, the structure of the controllers have been fixed, resulting in a time varying matrix parameter optimization problem. Necessary conditions for the solution of the discretized problem are given. The analogous conditions for the continuous case are referenced; viz., the document from which this paper is an abridgement. An example is considered which permits comparison of the solutions developed here to that resulting from the separation principle.