A Dynamic Program for a Team of Two Agents with Nested Information

TL;DR

This paper develops a dynamic programming approach for a two-agent team with nested information, providing structural results and simplified computation methods for optimal control strategies over finite horizons.

Contribution

It introduces a novel DP decomposition leveraging nested information to efficiently compute optimal strategies for a two-agent team with complex information structure.

Findings

Structural results for optimal control strategies

DP decomposition tailored for nested information

Simplified computation at final time step

Abstract

In this paper, we investigate a sequential dynamic team problem consisting of two agents with a nested information structure. We use a combination of the person-by-person and prescription approach to derive structural results for optimal control strategies for the team. We then use these structural results to present a dynamic programming (DP) decomposition to derive the optimal control strategies for a finite time horizon. We show that our DP utilizes the nested information structure to simplify the computation of the optimal control laws for the team at the final time step.