Time Consistent

Definition (Time consistent)

Let D:={J,Γ,T}D:=\{ J,\mathbf{\Gamma},\mathcal{T} \} be a dynamic team which admits a solution γ‾∗∈Γ\underline{\gamma}^{*}\in\mathbf{\Gamma}. Let t>1t>1 be an arbitrary point in T\mathcal{T}, and consider the decision problem D[t,T]βD^{\beta}_{[t,T]} which is derived from DD by setting γ‾[1,t−1]=β‾[1,t−1]\underline{\gamma}_{[1,t-1]}=\underline{\beta}_{[1,t-1]}, for an arbitrary β‾[1,t−1]∈Γ[1,t−1]\underline{\beta}_{[1,t-1]}\in\mathbf{\Gamma}_{[1,t-1]}. Then:

  1. The solution γ‾∗∈Γ\underline{\gamma}^{*}\in\mathbf{\Gamma} is strongly time consistent (STC) if the subpolicy γ‾[t,T]∗\underline{\gamma}^{*}_{[t,T]} constitutes a solution to the dynamic team D[t,T]βD^{\beta}_{[t,T]}, this being so for every t∈T,t>1t\in\mathcal{T},t>1, and every permissible β‾[1,t−1]∈Γ[1,t−1]\underline{\beta}_{[1,t-1]}\in\mathbf{\Gamma}_{[1,t-1]}.
  2. The solution γ‾∗∈Γ\underline{\gamma}^{*}\in\mathbf{\Gamma} is weakly time consistent (WTC) if the subpolicy γ‾[t,T]∗\underline{\gamma}^{*}_{[t,T]} constitutes a solution to the dynamic team D[t,T]βD^{\beta}_{[t,T]} when β‾[1,t−1]=γ‾[1,t−1]∗\underline{\beta}_{[1,t-1]}=\underline{\gamma}^{*}_{[1,t-1]}

Remark

See pg. 33 of textbook for more intuition.