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A standard form for sequential stochastic control

Abstract

Causal discrete-time stochastic control problems with nonclassical information patterns are not necessarily sequential in the sense that the order of the various control actions is fixed in advance. When this sequential condition does hold, then they can be reduced to a (theoretical) standard form which enables the establishment of a maximum principle, a reachable set concept and dynamic programming, all in a straightforward and transparent way.

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Witsenhausen, H.S. A standard form for sequential stochastic control. Math. Systems Theory 7, 5–11 (1973). https://doi.org/10.1007/BF01824800

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Keywords

  • Control Problem
  • Computational Mathematic
  • Dynamic Programming
  • Control Action
  • Maximum Principle