Further aesults on decomposition for stochastic dynamic systems
作者:
Hans W. Gottinger,
期刊:
Mathematische Operationsforschung und Statistik. Series Optimization
(Taylor Available online 1980)
卷期:
Volume 11,
issue 1
页码: 117-128
ISSN:0323-3898
年代: 1980
DOI:10.1080/02331938008842639
出版商: Akademic-Verlag
数据来源: Taylor
摘要:
In this paper we will be applying some of the methods of decomposition as proposed in [9] but we will concentrate on one particularly interesting case of a stochastic dynamic system, e.g. that of a linear-quadratic Gaussian dynamic team. In fact, this is a more complicated analogue of the familiar linear system with a quadratic criterion. De- mic team is not yet known - mainly because of a counterexample by Witsenhausen, who showed in this ease that the optimal decision ride need not be linear.
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