Abstract
The impact of uncertain future events on decision making in a stochastic environment is modeled in this paper. Such modeling is presented for both feedback and optimal control problems. This research overcomes the difficulties of forecasting that arise when considering future information. In this paper, we seek to find the minimum amount of information (effective information) necessary to evaluating system performance offline or to optimally control a system. The existence of effective information is proved and a methodology for determining it is developed. It is also shown that ignoring information beyond the planning horizon leads to significant performance loss and may even lead to violating the constraints of a control problem.
| Original language | English |
|---|---|
| Pages (from-to) | 283-310 |
| Number of pages | 28 |
| Journal | Journal of Optimization Theory and Applications |
| Volume | 116 |
| Issue number | 2 |
| DOIs | |
| State | Published - Feb 2003 |
| Externally published | Yes |
Bibliographical note
Funding Information:1This work was partially supported by the Israeli–Italian Scientific Cooperation Program. 2Lecturer, Department of Management and Industrial Engineering, College of Judea and Samaria, Ariel, Israel. 3Senior Lecturer, Department of Industrial Engineering, Tel-Aviv University, Tel-Aviv, Israel. 4Professor, Dipartimento di Matematica e Informatica, University of Udine, Udine, Italy.
Funding
1This work was partially supported by the Israeli–Italian Scientific Cooperation Program. 2Lecturer, Department of Management and Industrial Engineering, College of Judea and Samaria, Ariel, Israel. 3Senior Lecturer, Department of Industrial Engineering, Tel-Aviv University, Tel-Aviv, Israel. 4Professor, Dipartimento di Matematica e Informatica, University of Udine, Udine, Italy.
| Funders | Funder number |
|---|---|
| Israeli–Italian Scientific Cooperation Program |
Keywords
- Stochastic control
- information horizon
- modeling dynamic systems
- optimal control