Centralized Versus Decentralized Team Games of Distributed Stochastic Differential Decision Systems with Noiseless Information Structures-Part II: Applications
Abstract
In this second part of our two-part paper, we invoke the stochastic maximum principle, conditional Hamiltonian and the coupled backward-forward stochastic differential equations of the first part [1] to derive team optimal decentralized strategies for distributed stochastic differential systems with noiseless information structures. We present examples of such team games of nonlinear as well as linear quadratic forms. In some cases we obtain closed form expressions of the optimal decentralized strategies. Through the examples, we illustrate the effect of information signaling among the decision makers in reducing the computational complexity of optimal decentralized decision strategies.
Keywords
Cite
@article{arxiv.1302.3416,
title = {Centralized Versus Decentralized Team Games of Distributed Stochastic Differential Decision Systems with Noiseless Information Structures-Part II: Applications},
author = {Charalambos D. Charalambous and Nasir U. Ahmed},
journal= {arXiv preprint arXiv:1302.3416},
year = {2013}
}
Comments
39 pages Submitted to IEEE Transaction on Automatic Control