Nash Equilibria for Large-Population Linear Stochastic Systems of Weakly Coupled Agents

2005 ◽  
pp. 215-252 ◽  
Author(s):  
Minyi Huang ◽  
Roland P. Malhamé ◽  
Peter E. Caines
Keyword(s):  
Nash Equilibria ◽  
Stochastic Systems ◽  
Large Population ◽  
Weakly Coupled ◽  
Linear Stochastic Systems

Differential Games for Weakly Coupled Large-Scale Linear Stochastic Systems with an H∞-Constraint

2018 ◽  
Vol 20 (01) ◽  
pp. 1750025
Author(s):  
Hiroaki Mukaidani ◽  
Hua Xu
Keyword(s):  
Large Scale ◽  
Stochastic Systems ◽  
Necessary Conditions ◽  
Design Method ◽  
Infinite Horizon ◽  
Efficient Design ◽  
Reduced Order ◽  
Riccati Differential Equations ◽  
Weakly Coupled ◽  
Linear Stochastic Systems

A differential game approach for the finite-horizon stochastic control problem with an [Formula: see text]-constraint is considered for a class of large-scale linear systems. First, necessary conditions for the existence of a control strategy set are established by means of cross-coupled stochastic Riccati differential equations (CSRDEs). Second, an efficient design method to obtain a reduced-order parameter-independent approximate strategy set is proposed. Moreover, the performance degradation is estimated. Infinite-horizon case is also discussed. Finally, a numerical example is provided to demonstrate the effectiveness of the proposed design scheme.

The stochastic observability for noisy non-linear stochastic systems†

1975 ◽  
Vol 22 (4) ◽  
pp. 461-480 ◽  
Author(s):  
YOSHIFUMI SUNAHARA ◽  
SHIN'ICHl AIHARA ◽  
MASAYUKI SHIRAIWA
Keyword(s):  
Stochastic Systems ◽  
Linear Stochastic Systems ◽  
Non Linear

scholarly journals Distributed Fusion Receding Horizon Filtering in Linear Stochastic Systems

2009 ◽  
Vol 2009 (1) ◽  
Author(s):  
IlYoung Song ◽  
DuYong Kim ◽  
YongHoon Kim ◽  
SukJae Lee ◽  
Vladimir Shin
Keyword(s):  
Stochastic Systems ◽  
Receding Horizon ◽  
Linear Stochastic Systems ◽  
Distributed Fusion
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