Person-by-Person Optimal Solution to the Decentralised LQG Stochastic Control Problem with Control Sharing Information Pattern

摘要

The decentralized LQG stochastic control problem with control sharing information pattern, whereby controllers exchange controls but not observations, is considered. Previous work and their shortcomings are examined, and a person-by-person optimal solution is obtained. This solution is seen to be unique and linear in the information variables and represents the first feasible and complete solution satisfying the necessary conditions for optimality of this control sharing problem.