1. Dynamic Team Theory of Stochastic Differential Decision Systems with Decentralized Noisy Information Structures via Girsanov's Measure Transformation
- Author
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Charalambous, Charalambos D. and Ahmed, Nasir U.
- Subjects
Mathematics - Optimization and Control ,Computer Science - Systems and Control ,Mathematics - Statistics Theory ,49J55, 49K45, 93E20 - Abstract
In this paper, we present two methods which generalize static team theory to dynamic team theory, in the context of continuous-time stochastic nonlinear differential decentralized decision systems, with relaxed strategies, which are measurable to different noisy information structures. For both methods we apply Girsanov's measure transformation to obtain an equivalent dynamic team problem under a reference probability measure, so that the observations and information structures available for decisions, are not affected by any of the team decisions. The first method is based on function space integration with respect to products of Wiener measures, and generalizes Witsenhausen's [1] definition of equivalence between discrete-time static and dynamic team problems. The second method is based on stochastic Pontryagin's maximum principle. The team optimality conditions are given by a "Hamiltonian System" consisting of forward and backward stochastic differential equations, and a conditional variational Hamiltonian with respect to the information structure of each team member, expressed under the initial and a reference probability space via Girsanov's measure transformation. Under global convexity conditions, we show that that PbP optimality implies team optimality. In addition, we also show existence of team and PbP optimal relaxed decentralized strategies (conditional distributions), in the weak$^*$ sense, without imposing convexity on the action spaces of the team members. Moreover, using the embedding of regular strategies into relaxed strategies, we also obtain team and PbP optimality conditions for regular team strategies, which are measurable functions of decentralized information structures, and we use the Krein-Millman theorem to show realizability of relaxed strategies by regular strategies., Comment: 50 pages
- Published
- 2013