Information exchange between independent stochastic systems
We considerN independent, linear, Gaussian stochastic systems, each controlled by a decision maker having independent measurements on his own system. The decision makers agree to cooperate in order to minimize a weighted sum of their own independent quadratic performance indices. For this, they may or may not exchange their measurements on line. If further constraints (such as the restriction to memoryless feedbacks) are imposed, an example shows that the best solution is not always decentralized; that is, exchanging information really improves the overall performance. Moreover, some properties of the best decentralized feedbacks are investigated; they are local minima in a more general class and even absolute minima in particular situations.
This paper represents a continuation of three previous papers [1-.3] in the study of competitive bidding processes. It treats the case where a bidder's knowledge of his competitor's cost i s given by a probability distribution over a certain interval. The results obtained extend the work of Vickrey [4] to the case where the cost intervals a r e not necessarily symmetric.