Proof of quasi-adaptivity for the m-measurement feedback class of stochastic control policies

Bounds on expected performance are established which show that the m-measurement feedback (mM) policy for nonlinear stochastic control performs as well or better than the open-loop optimal control policy, and thus is quasi-adaptive in the sense of Witenhausen (1966). The chain of performance inequalities indicate a tendency for the mM policy performance to improve with increasing m. It is suggested that the present analytical method, based on the construction of artificial control sequences denoted as utility controls, can be used to establish performance bounds on other well-known policies, avoiding the extensive Monte Carlo simulations necessary in comparing stochastic control policies.