Rational inattention in controlled Markov processes

Ehsan Shafieepoorfard, Maxim Raginsky, Sean P. Meyn

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

The paper poses a general model for optimal control subject to information constraints, motivated in part by recent work on information-constrained decision-making by economic agents. In the average-cost optimal control framework, the general model introduced in this paper reduces to a variant of the linear-programming representation of the average-cost optimal control problem, subject to an additional mutual information constraint on the randomized stationary policy. The resulting optimization problem is convex and admits a decomposition based on the Bellman error, which is the object of study in approximate dynamic programming. The structural results presented in this paper can be used to obtain performance bounds, as well as algorithms for computation or approximation of optimal policies.

Original languageEnglish (US)
Title of host publication2013 American Control Conference, ACC 2013
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages6790-6797
Number of pages8
ISBN (Print)9781479901777
DOIs
StatePublished - 2013
Event2013 1st American Control Conference, ACC 2013 - Washington, DC, United States
Duration: Jun 17 2013Jun 19 2013

Publication series

NameProceedings of the American Control Conference
ISSN (Print)0743-1619

Other

Other2013 1st American Control Conference, ACC 2013
CountryUnited States
CityWashington, DC
Period6/17/136/19/13

ASJC Scopus subject areas

  • Electrical and Electronic Engineering

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