Two-level hierarchical control for stochastic optimal resource allocation†

In this paper a two-level hierarchical partially decentralized control for the optimal resource allocation is considered. It is assumed that the coordinator has available the information which has an essential meaning for the whole system, while the local controllers, some different, have more detailed information concerning the particular subsystems. The original problem statement is presented in which some elastic constraint of the control variable is proposed and used for coordination. Owing to this it is possible to decompose the calculations and to realize the decentralized optimal control. In the LQ case considered, all the optimal control laws take analytical form and the control law of the coordinator is certainly equivalent.