Effective information for offline stochastic feedback and optimal control of dynamic systems
type: Item
instance of: scholarly article
title: Effective information for offline stochastic feedback and optimal control of dynamic systems
zbMATH Open document ID: 1044.93064
DOI: 10.1023/A:1022405904070
published in: Journal of Optimization Theory and Applications
publication date: 2003-10-29T00:00:00Z
review text: The paper deals with the modeling of the impact of uncertain future events on decision making in a random medium. The concepts of effective information called EIH (Effective Information Horizon) and EIS (Effective Information Parameter Space) are introduced. The main results of the paper are the following: 1) one can use a substantially restricted amount of information to optimally control offline a real system or to offline evaluate the system performance under a feedback control rule; 2) at the same time, it is proven that ignoring the uncertain events, whose expectation lie in the time interval \([T\), EIH], necessarily results in a nonoptimal solution of the problem. There are several numerical examples. The first two demonstrate that the length of the EIH is quite limited, being of the same order of magnitude as the planning horizon length. The EIS is also limited, covering the most probable parameter realizations. The third example demonstrates both a possible violation of the problem constraints and deterioration of the performance measure, when neglecting information beyond the planning horizon.
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 93C41
Mathematics Subject Classification ID: 93B52
Mathematics Subject Classification ID: 49N35
Mathematics Subject Classification ID: 93A30
zbMATH DE Number: 1997727
zbMATH Keywords: stochastic control
zbMATH Keywords: optimal control
zbMATH Keywords: information horizon
zbMATH Keywords: modeling dynamic systems
zbMATH Keywords: Effective Information Horizon
zbMATH Keywords: Effective Information Parameter Space
zbMATH Keywords: planning horizon length
Wikidata QID: Q59341862
author: Avi Herbon
author: Eugene Khmelnitsky
author: Franco Blanchini
MaRDI profile type: Publication
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full work available at URL: a:1022405904070
OpenAlex ID: W179780582
description: scientific article; zbMATH DE number 1997727