Dual effect free stochastic controls

Kengy Barty, Pierre Carpentier, Jean-Philippe Chancelier,
Guy Cohen, Michel De Lara and Thérèse Guilbaud
february, 2006
Type de publication :
Article (revues avec comité de lecture)
Journal :
Annals of Operations Research, vol. 142, pp. 41-62
Mots clés :
Stochastic control - Dual effect - Information structure
Résumé :
In stochastic optimal control, a key issue is the fact that “solutions” are searched for in terms of “closed-loop control laws” 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. Our main result consists in characterizing the maximal set of closed-loop control laws containing open-loop ones and for which the information provided by observations closed with such a feedback remains fixed. We give more specific results in the two following cases: multi-agent systems and discrete time stochastic input-output systems with dynamic information structure.
BibTeX :
    author={Kengy Barty and Pierre Carpentier and Jean-Philippe Chancelier 
           and Guy Cohen and Michel De Lara and Thérèse Guilbaud },
    title={Dual effect free stochastic controls },
    doi={10.1007/s10479-006-6160-4 },
    journal={Annals of Operations Research },
    year={2006 },
    volume={142 },