Feedback control on Nash equilibrium for discrete-time stochastic systems with Markovian jumps: Finite-horizon case
| Autor: | Huiying Sun, Weihai Zhang, Liuyang Jiang |
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| Rok vydání: | 2012 |
| Předmět: |
Mathematical optimization
Iterative method Markov process Linear-quadratic regulator Multiplicative noise Computer Science Applications symbols.namesake Discrete time and continuous time Control and Systems Engineering Nash equilibrium ComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATION Convex optimization symbols Differential (infinitesimal) Mathematics |
| Zdroj: | International Journal of Control, Automation and Systems. 10:940-946 |
| ISSN: | 2005-4092 1598-6446 |
| DOI: | 10.1007/s12555-012-0510-6 |
| Popis: | In this paper, we consider the feedback control on nonzero-sum linear quadratic (LQ) differential games in finite horizon for discrete-time stochastic systems with Markovian jump parameters and multiplicative noise. Four-coupled generalized difference Riccati equations (GDREs) are obtained, which are essential to find the optimal Nash equilibrium strategies and the optimal cost values of the LQ differential games. Furthermore, an iterative algorithm is given to solve the four-coupled GDREs. Finally, a suboptimal solution of the LQ differential games is proposed based on a convex optimization approach and a simplification of the suboptimal solution is given. Simulation examples are presented to illustrate the effectiveness of the iterative algorithm and the suboptimal solution. |
| Databáze: | OpenAIRE |
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