A parameterized family of two-stage stochastic control problems with nonclassical information patterns is considered including the counterexample of H. S. Witsenhausen (see SIAM J. Contr. , vol. 6, no. 1, pp. 131-147, 1968). It is shown that the parameter region can be partitioned into two regions, in one of which the optimal solution is linear whereas in the other it is inherently nonlinear. In the nonlinear region, the best piecewise-constant solution does not always outperform the best linear solution, whereas a linear plus piecewise-constant policy does lead to a uniformly better performance. Numerical computations complement the study.
|Original language||English (US)|
|Number of pages||6|
|Journal||Proceedings of the American Control Conference|
|State||Published - Jan 1 1986|
ASJC Scopus subject areas
- Electrical and Electronic Engineering