Separability, neutrality and certainty equivalence†
- 1 February 1971
- journal article
- research article
- Published by Taylor & Francis in International Journal of Control
- Vol. 13 (2) , 337-342
- https://doi.org/10.1080/00207177108931948
Abstract
Studies of optimal stochastic control problems have drawn attention to three properties: separability, neutrality and certainty equivalence. The relationships between these properties have not yet been fully explored. This paper gives definitions of all three properties, summarizes well-known results about them and discusses the relationships between them. It is shown that separability is not the same as, but is a necessary condition for, certainty equivalence. It is conjectured that neutrality is a sufficient condition for certainty equivalence.Keywords
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