ON THE DECOMPOSITION OF STOCHASTIC CONTROL PROBLEMS.

This paper proposes an analysis of what the authors claim are the main issues underlying the difficult problem of stochastic decentralized control, or rather stochastic optimal control of interconnected systems. In studying the control of interconnected systems (coordination), the main issue is the management of the interactions. For stochastic systems, this raises a difficult question of constructing a local model of the stochastic process of interaction, realistic enough but leading to reasonably sized local problems. This viewpoint leads to a greatly simplified solution of C. Y. Chong's problem. The conclusion is that known representations of stochastic processes are not well suited to deal with the problem considered.