Centralized Versus Decentralized Optimization of Distributed Stochastic Differential Decision Systems with Different Information Structures-Part II: Applications
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2017Source
IEEE Transactions on Automatic ControlIssue
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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 [1] 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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