|edoc-Server der Humboldt-Universität zu Berlin|
Kengy Barty, CERMICS, École nationale des ponts et chaussées, Marne la Valleé|
P. Carpentier, ENSTA, Paris
J.-P. Chancelier, CERMICS, École nationale des ponts et chaussées, Marne la Valleé
G. Cohen, CERMICS, École nationale des ponts et chaussées, Marne la Valleé; INRIA, Rocquencourt
M. de Lara, CERMICS, École nationale des ponts et chaussées, Marne la Valleé
T. Guilbaud, CERMICS, École nationale des ponts et chaussées, Marne la Valleé
|Title:||Dual effect free stochastic controls|
|Date of Acceptance:||30.09.2003|
Stochastic Programming E-Print Series |
|Editors:||Julie L. Higle; Werner Römisch; Surrajeet Sen|
|Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.||Endnote Bibtex|
|print on demand: If you click on this icon you can order a print copy of this publication.|
|Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.|
|In stochastic optimal control, a key issue is the fact that "solutions" are searched for in terms of "feedback" over available information and, as a consequence, a major potential difficulty is the fact that present control may affect future available information. This is known as the "dual effect" of control. Given a minimal framework (that is, an observation mapping from the product of a control set and of a random set towards an observation set), we define open-loop lack of dual effect as the property that the information provided by observations under open-loop control laws is fixed, whatever the open-loop control. Our main result consists in characterizing the maximal set of closed-loop control laws for which the information provided by observations closed with such a feedback remains also fixed. We then address the multi-agent case. To obtain a comparable result, we are led to generalize the precedence and memory-communication binary relations introduced by Ho and Chu for the LQG problem, and to assume that the precedence relation is compatible with the memory-communication relation. When the precedence relation induces an acyclic graph, we prove that, when open-loop lack of dual effect holds, the maximal set of closed-loop control laws for which the information provided by observations closed with such a feedback remains fixed is the set of feedbacks measurable with respect to this fixed information. We end by studying the dual effect for discrete time stochastic input-output systems with dynamic information structure, for which the same result holds.|
These data concerning access statistics for individual documents
have been compiled using the webserver log files aggregated by AWSTATS.
They refer to a monthly access count to the full text documents as well as to the entry page.
As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.
To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.
Gesamtzahl der Zugriffe seit Jul 2011: