Charalambos Charalambous
Department of Electrical and Computer Engineering
University of Cyprus
75 Kallipoleos, CY-1678 Nicosia Cyprus
Email: [email protected]
Abstract
Decentralized optimization of distributed stochastic differential systems has been an active area of research for over half a century. Its formulation utilizing static team and person-by-person optimality criteria is well investigated. However, the results have not been generalized to nonlinear distributed stochastic differential systems possibly due to technical difficulties inherent with decentralized decision strategies. In this talk, we derive team optimality and person-by-person optimality conditions for distributed stochastic differential systems with decentralized information structures. The optimality conditions are given in terms of a Hamiltonian system of equations described by a system of coupled backward and forward stochastic differential equations and a conditional Hamiltonian. Our methodology is based on the semi martingale representation theorem and variational methods. Throughout the presentation we discuss similarities to optimality conditions of centralized decision making.
Biography
Prof. C.D. Charalambous research spans the following areas: stochastic differential control and decision systems, real-time information theory and its applications in telecommunications/control systems, optimization of stochastic systems subject to ambiguity, stochastic differential games, large scale distributed stochastic differential systems with decentralized information structures, and mathematical finance. He is currently an associate editor with the Journals, Mathematics of Control Signals and Systems, and Systems and Control Letters, and he is the IFAC Technical Committee Chair on Stochastic Systems. He has served as associate editor with the Journal, IEEE Transactions on Automatic Control, and on several Conference Editorial Boards. His research received funding from NASA Langley Virginia, Canadian Defense Department, Canadian Communications Research Center, European Commission, Cyprus Research Promotion Foundation, and University of Cyprus.
