Separability, neutrality and certainty equivalence†
作者:
J. W. PATCHELL,
O. L. R. JACOBS,
期刊:
International Journal of Control
(Taylor Available online 1971)
卷期:
Volume 13,
issue 2
页码: 337-342
ISSN:0020-7179
年代: 1971
DOI:10.1080/00207177108931948
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
Studies of optimal stochastic control problems have drawn attention to three properties: separability, neutrality and certainty equivalence. The relationships between these properties have not yet been fully explored. This paper gives definitions of all three properties, summarizes well-known results about them and discusses the relationships between them. It is shown that separability is not the same as, but is a necessary condition for, certainty equivalence. It is conjectured that neutrality is a sufficient condition for certainty equivalence.
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