Dynamic programming approach to decentralized stochastic control problems

Abstract

This note treats problems of decentralized control of stochastic discrete-time dynamic systems with one-step-delay sharing information structure. It is shown that, by applying dynamic programming techniques, the problem can be decomposed into several static team problems. For LQG cases, this approach gives an optimal control policy which consists of an optimal control term under the classical information structure and a correction term due to one-step-delay information structure.