Witsenhausen's Counterexample: A View from Optimal Transport Theory

被引：0
|
作者：
Wu, Yihong [1 ]
Verdu, Sergio [1 ]
机构：
[1] Princeton Univ, Dept Elect Engn, Princeton, NJ 08540 USA
来源：
2011 50TH IEEE CONFERENCE ON DECISION AND CONTROL AND EUROPEAN CONTROL CONFERENCE (CDC-ECC) | 2011年
关键词：
D O I：
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中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
We formulate Witsenhausen's decentralized stochastic control setup as an optimization problem involving the quadratic Wasserstein distance and the minimum mean-square error. Classical results are recovered as immediate consequences of transport-theoretic properties. New results and bounds on the optimal cost are also obtained. In particular, we show that the optimal controller is a strictly increasing function with a real analytic left inverse.
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页码：5732 / 5737
页数：6
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