Browsing Τμήμα Ηλεκτρολόγων Μηχανικών και Μηχανικών Υπολογιστών / Department of Electrical and Computer Engineering by Subject "Hamiltonians"
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Article
Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part I: A General Theory
(2017)Decentralized optimization of distributed stochastic dynamical systems with two or more controls of the decision makers (DMs) has been an active area of research for over half a century. Although, such decentralized ...
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Article
Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part II: Applications
(2017)In this second part of the two-part paper, a stochastic maximum principle, conditional Hamiltonians and the coupled backward-forward stochastic differential equations (SDEs) of the first part [1] are employed to derive ...
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Article
Decentralized optimality conditions of stochastic differential decision problems via Girsanov’s measure transformation
(2016)In this paper, we apply two methods to derive necessary and sufficient decentralized optimality conditions for stochastic differential decision problems with multiple Decision Makers (DMs), which aim at optimizing a common ...
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Conference Object
Dynamic team optimality conditions of distributed stochastic differential decision systems with decentralized noisy information structures
(Institute of Electrical and Electronics Engineers Inc., 2013)We derive team and Person-by-Person (PbP) optimality conditions using the stochastic Pontryagin's maximum principle, for distributed stochastic differential decision systems with decentralized noisy information structures. ...
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Article
Stochastic minimum principle for partially observed systems subject to continuous and jump diffusion processes and driven by relaxed controls
(2013)In this paper, we consider nonconvex control problems of stochastic differential equations driven by relaxed controls adapted, in the weak star sense, to a current of sigma algebras generated by observable processes. We ...
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Conference Object
Team optimality conditions of differential decision systems with nonclasssical information structures
(Institute of Electrical and Electronics Engineers Inc., 2014)We derive team optimality conditions for differential decision systems with nonclassical information structures. The necessary conditions of optimality are given in terms of Hamiltonian system of equations consisting of a ...
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Conference Object
Team optimality conditions of differential decision systems with nonclasssical information structures
(Institute of Electrical and Electronics Engineers Inc., 2014)We derive team optimality conditions for differential decision systems with nonclassical information structures. The necessary conditions of optimality are given in terms of Hamiltonian system of equations consisting of a ...