Numerical Evaluation of Exact Person-by-Person Optimal Nonlinear Control Strategies of the Witsenhausen Counterexample

Bhagyashri Telsang, Seddik Djouadi, Charalambos D. Charalambous

Witsenhausen's 1968 counterexmaple is a simple two-stage decentralized stochastic control problem that highlighted the difficulties of sequential decision problems with non-classic…