  This note studies the global optimization of controller mappings in
discrete-time stochastic control problems including Witsenhausen's celebrated
1968 counter-example. We propose a generally applicable non-convex numerical
optimization method based on the concept of deterministic annealing-which is
derived from information-theoretic principles and was successfully employed in
several problems including vector quantization, classification, and regression.
We present comparative numerical results for two test problems that show the
strict superiority of the proposed method over prior approaches in the
literature.
