Effective information for offline stochastic feedback and optimal control of dynamic systems

A. Herbon, E. Khmelnitsky, F. Blanchini

Research output: Contribution to journalArticlepeer-review

Abstract

The impact of uncertain future events on decision making in a stochastic environment is modeled in this paper. Such modeling is presented for both feedback and optimal control problems. This research overcomes the difficulties of forecasting that arise when considering future information. In this paper, we seek to find the minimum amount of information (effective information) necessary to evaluating system performance offline or to optimally control a system. The existence of effective information is proved and a methodology for determining it is developed. It is also shown that ignoring information beyond the planning horizon leads to significant performance loss and may even lead to violating the constraints of a control problem.

Original languageEnglish
Pages (from-to)283-310
Number of pages28
JournalJournal of Optimization Theory and Applications
Volume116
Issue number2
DOIs
StatePublished - Feb 2003

Keywords

  • Stochastic control
  • information horizon
  • modeling dynamic systems
  • optimal control

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