Decentralized solutions of the linear-exponential-Gaussian problem

The authors consider stochastic control problems with an exponential cost criterion. Necessary and sufficient conditions and the control law of the decentralized linear-exponential-Gaussian (LEG) team problem with a one-step delayed information sharing pattern are given. The one-step delayed information pattern is that only the past observations are available and the current observations are not available. It is shown that the optimal control law of the ith member is an affine function of its own observation at the current time and the state estimate based on a one-step delayed information pattern.<
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