Convex Analysis in Decentralized Stochastic Control, Strategic Measures, and Optimal Solutions

Convex Analysis in Decentralized Stochastic Control, Strategic Measures, and Optimal Solutions

This paper is concerned with the properties of the sets of strategic measures induced by admissible team policies in decentralized stochastic control and the convexity properties in dynamic team problems. To facilitate a convex analytical approach, strategic measures for team problems are introduced. Properties such as convexity, and compactness and Borel measurability under weak convergence to...

Strategic Measures in Optimal Control Problems for Stochastic Sequences

Controlled discrete-time stochastic processes are studied using the convex-analytic approach. Some new properties of strategic measures spaces are established, particular Markov models are considered. The meaningful example is presented.

Quantitative Determination Of Optimal Fiscal And Monetary Policies: A Stochastic Optimal Control Analysis For Iran

Higher-Order Convex Approximations of Young Measures in Optimal Control

The general theory of approximation of (possibly generalized) Young measures is presented, and concrete cases are investigated. An adjoint-operator approach, combined with quasi-interpolation of test integrands, is systematically used. Applicability is demonstrated on an optimal control problem for an elliptic system, together with 1-dimensional illustrative calculations of various options.

Decentralized stochastic control

Decentralized stochastic control refers to themulti-stage optimization of a dynamical system bymultiple controllers that have access to different information. Decentralization of information gives rise to new conceptual challenges that require new solution approaches. In this expository paper, we use the notion of an information-state to explain the two commonly used solution approaches to dece...