Solutions to a class of linear-quadratic-Gaussian (LQG) stochastic team problems with nonclassical information

Rajesh Bansal, Tamer Başar

Research output: Contribution to journalArticle

Abstract

We consider a stochastic dynamic team problem with two controllers and nonclassical information, which can be viewed as the transmission of a garbled version of a Gaussian message over a number of noisy channels under a fidelity criterion. We show that the optimum solution (under a quadratic loss functional) consists of linearly transforming the garbled message to a certain (optimum) power level P* and then optimally decoding it by using a linear transformation at the receiving end. The power level P* is determined by the solution of a fifth order algebraic equation. The paper also discusses an extension of this result to the case when the channel noise is correlated with the input random variable, and shows that for the single channel case the optimum solution is again linear.

Original languageEnglish (US)
Pages (from-to)125-130
Number of pages6
JournalSystems and Control Letters
Volume9
Issue number2
DOIs
StatePublished - Aug 1987

Keywords

  • Nonclassical information patterns
  • Stochastic control
  • Stochastic teams

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science(all)
  • Mechanical Engineering
  • Electrical and Electronic Engineering

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