Dual effect free stochastic controls

Abstract : 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.
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Submitted on : Tuesday, April 15, 2014 - 10:25:13 AM
Last modification on : Friday, July 5, 2019 - 9:28:02 AM

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Kengy Barty, Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel de Lara, et al.. Dual effect free stochastic controls. Annals of Operations Research, Springer Verlag, 2006, 142, pp.41-62. ⟨10.1007/s10479-006-6160-4⟩. ⟨hal-00978996⟩

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