TY - JOUR
T1 - STOCHASTIC TEAMS WITH NONCLASSICAL INFORMATION REVISITED
T2 - WHEN IS AN AFFINE LAW OPTIMAL? .
AU - Bansal, Rajesh
AU - Basar, Tamer
PY - 1986
Y1 - 1986
N2 - 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.
AB - 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.
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U2 - 10.23919/acc.1986.4788909
DO - 10.23919/acc.1986.4788909
M3 - Conference article
AN - SCOPUS:0022604556
SN - 0743-1619
SP - 45
EP - 50
JO - Proceedings of the American Control Conference
JF - Proceedings of the American Control Conference
ER -