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Time Consistent

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Definition
StochasticControl

Definition

Let D:={J,Γ,T}D:=\{ J,\mathbf{\Gamma},\mathcal{T} \} be a dynamic team which admits a solution γΓ\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,t1]=β[1,t1]\underline{\gamma}_{[1,t-1]}=\underline{\beta}_{[1,t-1]}, for an arbitrary β[1,t1]Γ[1,t1]\underline{\beta}_{[1,t-1]}\in\mathbf{\Gamma}_{[1,t-1]}. Then: 1. The solution γΓ\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 tT,t>1t\in\mathcal{T},t>1, and every permissible β[1,t1]Γ[1,t1]\underline{\beta}_{[1,t-1]}\in\mathbf{\Gamma}_{[1,t-1]}. 2. The solution γΓ\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,t1]=γ[1,t1]\underline{\beta}_{[1,t-1]}=\underline{\gamma}^{*}_{[1,t-1]}

Note

See pg. 33 of textbook for more intuition.