- Research Article
50
- 10.1137/15m1049129
Convex Analysis in Decentralized Stochastic Control, Strategic Measures, and Optimal Solutions
- Jan 01, 2017
- SIAM Journal on Control and Optimization
- Serdar Yüksel + 1 more +1
This paper is concerned with the properties of the sets of strategic measures induced by admissible team policies in decentralized stochastic control and the convexity properties in dynamic team problems. To facilitate a convex analytical approach, strategic measures for team problems are introduced. Properties such as convexity, compactness, and Borel measurability under weak convergence topology are studied, and sufficient conditions for each of these properties are presented. These lead to existence of and structural results for optimal policies. It will be shown that the set of strategic measures for teams which are not classical is in general nonconvex, but the extreme points of a relaxed set consist of deterministic team policies, which lead to their optimality for a given team problem under an expected cost criterion. Externally provided independent common randomness for static teams or private randomness for dynamic teams do not improve the team performance. The problem of when a sequential team p...
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