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Weierstrass Theorem

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Theorem
StochasticControl

The team problem {J;Γi,iN}\{ J;\mathit\Gamma^{i},i\in\mathcal{N} \} admits a team-optimal solution if: 1. The product policy space Γ\mathbf{\Gamma} is a compact subset of a metric space; 2. The cost function JJ is lower semicontinuous (lsc) on Γ\mathbf{\Gamma} (with respect to the given metric).

We require the cost function to only be lsc in the case of minimization as we’re approaching the “minimum” from above and hence, we only care for it to be well-behaved as we approach the minimum.

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