Team Decision Theory for Linear Continuous-Time Systems

Arunabha Bagchi, Tamer Basar

Research output: Contribution to journalArticle

Abstract

This paper develops a team decision theory for linear-quadratic (LQ) continuous-time systems. First, a counterpart of the well-known result of Radner on quadratic static teams is obtained for two-member continuous-time LQ static team problems when die statistics of die random variables involved are not necessarily Gaussian. An iterative convergent scheme is developed, which in the limit yields die optimal team strategies. For the special case of Gaussian distributions, the team-optimal solution is affine in the information available to each DM, and for the further special case when the team cost function does not penalize the intermediate values of state, the optimal strategies can be obtained by solving a Liapunov type time-invariant matrix equation. This static theory is then extended to LQG continuous-time dynamic teams with sampled observations under the one-step-delay observation sharing pattern. The unique solution is again affine in the information available to each DM, and further, it features a certainty-equivalence property.

Original languageEnglish (US)
Pages (from-to)1154-1161
Number of pages8
JournalIEEE Transactions on Automatic Control
Volume25
Issue number6
DOIs
StatePublished - Dec 1980
Externally publishedYes

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications
  • Electrical and Electronic Engineering

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