Asymmetric information control for stochastic systems with different intermittent observations

Qingyuan Qi, Zhenghong Qiu, Xianghua Wang and Zhijian Ji

Applied Mathematics and Computation, 2022, vol. 412, issue C

Abstract: This paper will investigate the linear quadratic (LQ) control problem for a stochastic system with different intermittent observations. Different from traditional LQ control problems, two controllers with different information structures are considered to minimize a quadratic performance index. Specifically, the information sets available to two controllers are different and mutually exclusive (i.e., either of both is not the subset of the other one). The problem under consideration in this paper is an asymmetric information control problem. It is highlighted that previous literature on asymmetric information control mainly focused on the case when the information set is a subset of the other one. However, the case of the information sets being mutually exclusive remains less investigated to the best of our knowledge, which brings essential difficulties in finding the optimal control strategies: the structures and forms of two controllers are not clear; seeking for the solvability conditions of the optimal control problem is challenging. We summarize the contributions of this paper as follows: Firstly, by adopting the convex variational method, the necessary and sufficient solvability conditions are derived under some basic assumptions, which are relied on the forward and backward difference equations (FBSDEs); Secondly, by decoupling the FBSDEs, the control strategies are derived; Finally, the results are extended to investigate the general multiple controllers case.

Keywords: Asymmetric information control; Different intermittent observations; Solution to FBSDEs (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:412:y:2022:i:c:s0096300321006287

DOI: 10.1016/j.amc.2021.126544

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