Open AccessRevisiting Sub-Optimality of the Decentralized Decision Making: A Note
Author(s) -
Amaresh Das
Publication year - 2009
Publication title -
journal of management research
Language(s) - English
Resource type - Journals
ISSN - 1941-899X
DOI - 10.5296/jmr.v2i1.243
Subject(s) - linear quadratic gaussian control , mathematical optimization , gaussian , quadratic equation , mathematics , linear quadratic regulator , computer science , optimal control , physics , geometry , quantum mechanics
The famous 1968 Witsenhausen demonstrated that for a multi-agent linear quadratic Gaussian (LQG), the optimal linear solution is, in general sub-optimal. The note gives an example which is easier and more sophisticated than the Witsenhausen example.