Dual Effect for Multi-Agent Stochastic Input-Output Systems

Pierre Carpentier; Jean Philippe Chancelier; Guy Cohen; Michel De Lara

doi:10.1007/978-3-319-18138-7_10

Dual Effect for Multi-Agent Stochastic Input-Output Systems

Pierre Carpentier
, Jean Philippe Chancelier
, Guy Cohen
, Michel De Lara

École des ponts

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

In stochastic optimal control, a key issue is 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, and has been discussed in Sects. 1.1.3, 1.2.1, 1.3.2 and 4.2.3. Following (K. Barty et al. Annals of Operation Research, 142(1):41-62, February 2006, [13]), we will characterize the maximal set of closed-loop control laws containing open-loop laws and for which the information provided by observations closed with such a feedback remains fixed.

Original language	English
Title of host publication	Probability Theory and Stochastic Modelling
Publisher	Springer Nature
Pages	293-307
Number of pages	15
DOIs	https://doi.org/10.1007/978-3-319-18138-7_10
Publication status	Published - 1 Jan 2015

Publication series

Name	Probability Theory and Stochastic Modelling
Volume	75
ISSN (Print)	2199-3130
ISSN (Electronic)	2199-3149

Keywords

Complete Product
Dual Effect
Observation Function
Stochastic Optimal Control
Stochastic Optimization Problem

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10.1007/978-3-319-18138-7_10

Cite this

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AU - Carpentier, Pierre

AU - Chancelier, Jean Philippe

AU - Cohen, Guy

AU - De Lara, Michel

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AB - In stochastic optimal control, a key issue is 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, and has been discussed in Sects. 1.1.3, 1.2.1, 1.3.2 and 4.2.3. Following (K. Barty et al. Annals of Operation Research, 142(1):41-62, February 2006, [13]), we will characterize the maximal set of closed-loop control laws containing open-loop laws and for which the information provided by observations closed with such a feedback remains fixed.

KW - Complete Product

KW - Dual Effect

KW - Observation Function

KW - Stochastic Optimal Control

KW - Stochastic Optimization Problem

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PB - Springer Nature

ER -

Dual Effect for Multi-Agent Stochastic Input-Output Systems

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