Optimization formulation and monotonic solution method for the Witsenhausen problem

DOI10.1016/j.automatica.2015.02.026zbMath1378.93149OpenAlexW2010701573MaRDI QIDQ1689345

William M. McEneaney, Seung Hak Han

Publication date: 12 January 2018

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2015.02.026

zbMATH Keywords

optimizationnetworked controlstochastic quantile functionWitsenhausen counterexample

Mathematics Subject Classification ID

Least squares and related methods for stochastic control systems (93E24) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Cites Work

• An introduction to copulas.
• An ordinal optimization approach to optimal control problems
• Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
• Lectures on mathematical theory of extremum problems. Translated from the Russian by D. Louvish
• Probability and Stochastics
• The Witsenhausen counterexample: a hierarchical search approach for nonconvex optimization problems
• Numerical solutions to the Witsenhausen counterexample by approximating networks
• Approximately Optimal Solutions to the Finite-Dimensional Witsenhausen Counterexample
• A Counterexample in Stochastic Optimum Control
• Measures, Integrals and Martingales
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