Optimization formulation and monotonic solution method for the Witsenhausen problem

Abstract

The Witsenhausen counterexample is examined. The problem is reduced to an optimization problem over the space of quantile functions. Calculus of variation methods are applied, and necessary conditions are generated. Aspects of the structure of the problem and the solution are discussed. A numerical method generating a sequence of solution approximations… (More)
DOI: 10.1016/j.automatica.2015.02.026

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@article{McEneaney2015OptimizationFA, title={Optimization formulation and monotonic solution method for the Witsenhausen problem}, author={William M. McEneaney and Seung Hak Han}, journal={Automatica}, year={2015}, volume={55}, pages={55-65} }