  Witsenhausen's 1968 counterexmaple is a simple two-stage decentralized
stochastic control problem that highlighted the difficulties of sequential
decision problems with non-classical information structures. Despite extensive
prior efforts, what is known currently, is the exact Person-by-Person (PbP)
optimal nonlinear strategies, which satisfy two nonlinear integral equations,
announced in 2014, and obtained using Girsanov's change of measure
transformations. In this paper, we provide numerical solutions to the two exact
nonlinear PbP optimal control strategies, using the Gauss Hermite Quadrature to
approximate the integrals and then solve a system of non-linear equations to
compute the signaling levels. Further, we analyse and compare our numerical
results to existing results previously reported in the literature.

Systems and Control;Systems and Control