• DocumentCode
    114669
  • Title

    Maximum principle for decentralized stochastic differential decision systems

  • Author

    Charalambous, Charalambos D. ; Ahmed, N.U.

  • Author_Institution
    Fac. of Electr. Eng., Univ. of Cyprus, Nicosia, Cyprus
  • fYear
    2014
  • fDate
    15-17 Dec. 2014
  • Firstpage
    1846
  • Lastpage
    1851
  • Abstract
    In this paper we derive team and Person-by-Person (PbP) optimality conditions for Itô SDEs with nonclassical information structures. The optimality conditions are given in terms of a Hamiltonian System described by coupled backward and forward SDEs and conditional Hamiltonians, conditioned on the information structures, for regular (measurable functions) and relaxed strategies (conditional distributions).
  • Keywords
    multivariable systems; stochastic systems; Hamiltonian system; Itô SDEs; PbP optimality condition; conditional Hamiltonians; conditional distributions; coupled backward SDE; coupled forward SDE; decentralized stochastic differential decision systems; measurable functions; nonclassical information structures; person-by-person optimality condition; relaxed strategies; team optimality condition; Aerospace electronics; Educational institutions; Equations; Optimal control; Stochastic systems; Topology; Zinc;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control (CDC), 2014 IEEE 53rd Annual Conference on
  • Conference_Location
    Los Angeles, CA
  • Print_ISBN
    978-1-4799-7746-8
  • Type

    conf

  • DOI
    10.1109/CDC.2014.7039667
  • Filename
    7039667
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=114669