Effective Information in Offline Stochastic Feedback and Optimal Control of Dynamic Systems: Results and Applications

Avi Herbon ()
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Avi Herbon: Bar-Ilan University

A chapter in Models and Methods in Economics and Management Science, 2014, pp 51-71 from Springer

Abstract: Abstract The concepts of effective information horizon (EIH) and effective information space (EIS) reflect the extent to which information is required for optimally controlling offline dynamic systems in stochastic environments. These concepts can be applied to overcome the difficulties involved in forecasting that arise when considering future information. Two approaches are utilized for modeling a given dynamic system. The first, denoted as pseudo-stochastic, is basically deterministic and considers the flow of uncertain future events by a superposition of the distribution functions of an event’s occurrence time. The second approach, the general stochastic model, considers all possible future scenarios. Several applications that are presented illustrate that when using only partial information for determining optimal control, the performance of the dynamic system is almost identical to that when using full information. The applications also illustrate that ignoring information beyond the planning horizon leads to significant performance loss and may violate the constraints of a control problem.

Keywords: Effective information horizon; Effective information space; Stochastic optimal control; Modeling dynamic systems; Pseudo-stochastic model (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-3-319-00669-7_4

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DOI: 10.1007/978-3-319-00669-7_4

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