Abstract
We considerN independent, linear, Gaussian stochastic systems, each controlled by a decision maker having independent measurements on his own system. The decision makers agree to cooperate in order to minimize a weighted sum of their own independent quadratic performance indices. For this, they may or may not exchange their measurements on line. If further constraints (such as the restriction to memoryless feedbacks) are imposed, an example shows that the best solution is not always decentralized; that is, exchanging information really improves the overall performance. Moreover, some properties of the best decentralized feedbacks are investigated; they are local minima in a more general class and even absolute minima in particular situations.
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Communicated by P. Varaiya
This research was supported by CNRS, France, Contract No. ATP-2340. The topic of this paper was presented at a Symposium on Management Science, Optimization of Dynamic Problems, held at the European Institute for Advanced Studies in Management, Brussels, Belgium, 1978. The author is grateful to Prof. P. Bernhard and Dr. J. P. Quadrat for helpful discussions.
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Cohen, G. Information exchange between independent stochastic systems. J Optim Theory Appl 32, 201–210 (1980). https://doi.org/10.1007/BF00934724
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DOI: https://doi.org/10.1007/BF00934724