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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Journal articles
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https://hal-ensta-paris.archives-ouvertes.fr//hal-00978996
Contributor : Aurélien Arnoux
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Submitted on : Tuesday, April 15, 2014 - 10:25:13 AM
Last modification on : Friday, November 29, 2019 - 12:14:25 PM
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⟩
