Team optimality conditions of distributed stochastic differential decision systems with decentralized noisy information structures
AuthorCharalambous, Charalambos D.
Ahmed, N. U.
SourceIEEE Transactions on Automatic Control
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A team problem formulation of distributed stochastic differential systems with decentralized noisy information structures is considered, and a stochastic Pontryagin's maximum principle is applied to derive sufficient team and person-by-person optimality conditions. The sufficient conditions are given in terms of local convexity conditions of the Hamiltonian, and the corresponding conditional variational equations. These appear to be analogous to the convexity of the pay-off, in the action spaces, of static team problems. The stochastic maximum principle is applied to several examples in filtering and control. © 1963-2012 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 ...