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Dual effect free stochastic controls

Author

Listed:
  • K. Barty
  • J.-P. Chancelier
  • G. Cohen
  • M. Lara
  • T. Guilbaud
  • P. Carpentier

Abstract

In stochastic optimal control, a key issue is the fact that “solutions” are searched for in terms of “closed-loop control laws” over available information and, as a consequence, a major potential difficulty is the fact that present control may affect future available information. This is known as the “dual effect” of control. Our main result consists in characterizing the maximal set of closed-loop control laws containing open-loop ones and for which the information provided by observations closed with such a feedback remains fixed. We give more specific results in the two following cases: multi-agent systems and discrete time stochastic input-output systems with dynamic information structure. Copyright Springer Science + Business Media, Inc. 2006

Suggested Citation

  • K. Barty & J.-P. Chancelier & G. Cohen & M. Lara & T. Guilbaud & P. Carpentier, 2006. "Dual effect free stochastic controls," Annals of Operations Research, Springer, vol. 142(1), pages 41-62, February.
    • Handle: RePEc:spr:annopr:v:142:y:2006:i:1:p:41-62:10.1007/s10479-006-6160-4
    DOI: 10.1007/s10479-006-6160-4
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    Cited by:

    1. Cheng Kai-Wen & Kenkel Don S, 2010. "U.S. Cigarette Demand: 1944-2004," The B.E. Journal of Economic Analysis & Policy, De Gruyter, vol. 10(1), pages 1-21, August.
    2. KUMAR Satish, 2017. "A Review On The Evolution Of Calendar Anomalies," Studies in Business and Economics, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 12(1), pages 95-109, April.
    3. Leah K. Lakdawala & David Simon, 2016. "The Intergenerational Consequences of Tobacco Policy," Working papers 2016-27, University of Connecticut, Department of Economics.
    4. Pierre Carpentier & Guy Cohen & Anes Dallagi, 2013. "Particle methods for stochastic optimal control problems," Computational Optimization and Applications, Springer, vol. 56(3), pages 635-674, December.

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