Annals of Operations Research

, Volume 142, Issue 1, pp 41–62 | Cite as

Dual effect free stochastic controls

  • K. Barty
  • J.-P. Chancelier
  • G. Cohen
  • M. De Lara
  • T. Guilbaud
  • P. Carpentier

Abstract

In stochastic optimal control, a key issue is the fact that “solutions” are searched for in terms of “closed-loop control laws” over available information and, as a consequence, a major potential difficulty is the fact that present control may affect future available information. This is known as the “dual effect” of control. Our main result consists in characterizing the maximal set of closed-loop control laws containing open-loop ones and for which the information provided by observations closed with such a feedback remains fixed. We give more specific results in the two following cases: multi-agent systems and discrete time stochastic input-output systems with dynamic information structure.

Keywords

Stochastic control Dual effect Information structure 

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Copyright information

© Springer Science + Business Media, Inc. 2006

Authors and Affiliations

  • K. Barty
    • 1
  • J.-P. Chancelier
    • 1
  • G. Cohen
    • 1
    • 2
  • M. De Lara
    • 1
  • T. Guilbaud
    • 1
  • P. Carpentier
    • 3
  1. 1.CERMICSÉcole nationale des ponts et chausséesCedex 2
  2. 2.INRIA-RocquencourtFrance
  3. 3.Applied Math. Lab. of ENSTA (Paris)Paris

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