Dynamic programming approach to decentralized stochastic control problems

This paper treats problems of decentralized control of stochastic discrete-time dynamic systems with one-step-delay sharing information structure. It is shown that, by applying dynamic programming technique, the problem can be decomposed into several static team problems. For LQG case, this approach gives a solution which clearly shows the relation between estimation and control functions in the optimal control policy. Also the form of this solution is convenient for numerical computation of the optimal control.