A trace minimization problem with applications in joint estimation and control under nonclassical information

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Abstract

Let Λ and Σ be positive-definite matrices of dimensions n×n and m×n. Then, this paper considers the problem of minimizing Tr[Λ(I+C′C)-1] over all m×n real matrices and under the constraint Tr[ΣCC′]≥1. The solution is obtained rigorously and without a priori employing the Lagrange multipliers technique. An application of this result to a decentralized team problem which involves joint estimation and control and with signaling strategies is also discussed.

Original languageEnglish (US)
Pages (from-to)343-359
Number of pages17
JournalJournal of Optimization Theory and Applications
Volume31
Issue number3
DOIs
StatePublished - Jul 1 1980
Externally publishedYes

Keywords

  • Nonlinear programming
  • nonclassical information
  • quadratic inequality constraints
  • signaling strategies
  • team problems

ASJC Scopus subject areas

  • Control and Optimization
  • Management Science and Operations Research
  • Applied Mathematics

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