Finite horizon linear quadratic dynamic games for discrete-time stochastic systems with N-players

被引：5
|
作者：
Zhu, Huai-Nian [1 ]
Zhang, Cheng-Ke [1 ]
机构：
[1] Guangdong Univ Technol, Sch Econ & Commence, Guangzhou 510520, Guangdong, Peoples R China
来源：
OPERATIONS RESEARCH LETTERS | 2016年 / 44卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Pareto optimal strategy; Nash strategy; Discrete-time-stochastic systems; Matrix-valued equations; STATE; STRATEGY;
D O I：
10.1016/j.orl.2016.02.010
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
In this paper, dynamic games for a class of finite horizon linear stochastic system governed by Ito's difference equation are investigated. Particularly, both Pareto and Nash strategies are discussed. After defining the equilibrium condition, sufficient conditions for the existence of the strategy sets are obtained, which are associated with the solvability of the corresponding generalized difference Riccati equations (GDREs). Furthermore, an iterative algorithm is proposed to solve the related GDREs and a simple numerical example is given to show the reliability and usefulness of the considerable results. (C) 2016 Elsevier B.V. All rights reserved.
引用
收藏
页码：307 / 312
页数：6
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