Decentralized sufficient & necessary optimality conditions for cooperative stochastic differential decision problems

Authors :: Charalambous, Charalambos D.
Charalambous, Charalambos D. [0000-0002-2168-0231]
Source :: 2016 IEEE 55th Conference on Decision and Control, CDC 2016, CDC
Publication Year :: 2016
Publisher :: Institute of Electrical and Electronics Engineers Inc., 2016.
Abstract: In this paper we derive necessary and sufficient Person by Person and Global (team) decentralized optimality conditions, for stochastic differential decision problems with multiple Decision Makers (DMs) or Agents aimed at optimizing a common pay-off. These consist of forward and backward stochastic differential equations, and a set of conditional variational Hamiltonians with respect to the information structures of the DMs. © 2016 IEEE. 6161 6166

Subjects :: 0209 industrial biotechnology
Mathematical optimization
Stochastic process
010102 general mathematics
02 engineering and technology
Decision problem
01 natural sciences
Set (abstract data type)
Stochastic differential equation
020901 industrial engineering & automation
Aerospace electronics
Process control
0101 mathematics
Differential (infinitesimal)
Random variable
Mathematics

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