Dual effect free stochastic controls
dc.contributor.author | Barty, Kengy | |
dc.contributor.author | Carpentier, P. | |
dc.contributor.author | Chancelier, J.-P. | |
dc.contributor.author | Cohen, G. | |
dc.contributor.author | Lara, M. de | |
dc.contributor.author | Guilbaud, T. | |
dc.contributor.editor | Higle, Julie L. | |
dc.contributor.editor | Römisch, Werner | |
dc.contributor.editor | Sen, Surrajeet | |
dc.date.accessioned | 2017-06-16T19:54:00Z | |
dc.date.available | 2017-06-16T19:54:00Z | |
dc.date.created | 2006-03-01 | |
dc.date.issued | 2003-09-30 | |
dc.date.submitted | 2003-03-03 | |
dc.identifier.uri | http://edoc.hu-berlin.de/18452/8952 | |
dc.description.abstract | 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. | eng |
dc.language.iso | eng | |
dc.publisher | Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik | |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | |
dc.subject.ddc | 510 Mathematik | |
dc.title | Dual effect free stochastic controls | |
dc.type | book | |
dc.identifier.urn | urn:nbn:de:kobv:11-10059151 | |
dc.identifier.urn | urn:nbn:de:kobv:11-10059169 | |
dc.identifier.doi | http://dx.doi.org/10.18452/8300 | |
local.edoc.pages | 26 | |
local.edoc.type-name | Buch | |
local.edoc.container-type | series | |
local.edoc.container-type-name | Schriftenreihe | |
dc.identifier.zdb | 2936317-2 | |
bua.series.name | Stochastic Programming E-Print Series | |
bua.series.issuenumber | 2003,18 |