Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part II: Applications
AuthorCharalambous, Charalambos D.
Ahmed, N. U.
SourceIEEE Transactions on Automatic Control
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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  are employed to derive decentralized team optimal strategies for distributed decision systems with different information structures. Examples of such team problems are presented of nonlinear and linear quadratic forms. In many cases the expressions of the optimal decentralized strategies are obtained. An interesting feature of any one optimal decentralized strategy is the dependence on the conditional estimates of the other optimal responses. IEEE
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Optimization of nonlinear stochastic uncertain relaxed controlled systems: Entropy rate functional and robustness Rezaei, F.; Charalambous, C. D.; Kyprianou, Andreas (Affiliation: Sch. of Info. Technol. and Eng., University of Ottawa, 800 King Edward Ave., Ottawa, Ont. K1N 6N5, CanadaAffiliation: Sch. of Info. Technol. and Eng., University of Ottawa, 161 Louis Pasteur, A519, Ottawa, Ont. K1N 6N5, CanadaAffiliation: Electrical Engineering Department, University of Cyprus, 75 Kallipoleos Avenue, Nicosia, CyprusAffiliation: Mechanical Engineering Department, University of Cyprus, 75 Kallipoleos Avenue, Nicosia, CyprusCorrespondence Address: Rezaei, F.Sch. of Info. Technol. and Eng., University of Ottawa, 800 King Edward Ave., Ottawa, Ont. K1N 6N5, Canadaemail: firstname.lastname@example.org, 2004)This paper is concerned with nonlinear stochastic uncertain relaxed controlled difussions, in which the pay-off is described by the relative entropy between the nominal measure and the uncertain measure, when the uncertain ...