Rationally inattentive control of Markov processes
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Publication:2802080
Abstract: The article poses a general model for optimal control subject to information constraints, motivated in part by recent work of Sims and others on information-constrained decision-making by economic agents. In the average-cost optimal control framework, the general model introduced in this paper reduces to a variant of the linear-programming representation of the average-cost optimal control problem, subject to an additional mutual information constraint on the randomized stationary policy. The resulting optimization problem is convex and admits a decomposition based on the Bellman error, which is the object of study in approximate dynamic programming. The theory is illustrated through the example of information-constrained linear-quadratic-Gaussian (LQG) control problem. Some results on the infinite-horizon discounted-cost criterion are also presented.
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Cited in
(9)- From infinite to finite programs: explicit error bounds with applications to approximate dynamic programming
- Ordinary differential equation methods for Markov decision processes and application to Kullback-Leibler control cost
- Optimal Control and Signaling Strategies of Control-Coding Capacity of General Decision Models: Applications to Gaussian Models and Decentralized Strategies
- Multivariate rational inattention
- Concordant informational control
- A linear-quadratic Gaussian approach to dynamic information acquisition
- Simultaneous perception-action design via invariant finite belief sets
- Bounded rationality and control
- Bounded rationality and control
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