Incentive Feedback Stackelberg Strategy for Stochastic Systems with State-Dependent Noise

Yaning Lin ◽  
Wenhui Gao ◽  
Weihai Zhang
2014 ◽  
Vol 2014 ◽  
pp. 1-12 ◽  
Ahmed Khamis ◽  
D. Subbaram Naidu ◽  
Ahmed M. Kamel

This paper presents an efficient online technique used for finite-horizon, nonlinear, stochastic, regulator, and tracking problems. This can be accomplished by the integration of the differential SDRE filter algorithm and the finite-horizon state dependent Riccati equation (SDRE) technique. Unlike the previous methods which deal with the linearized system, this technique provides finite-horizon estimation and control of the nonlinear stochastic systems. Further, the proposed technique is effective for a wide range of operating points. Simulation results of a missile guidance system are presented to illustrate the effectiveness of the proposed technique.

2014 ◽  
Vol 46 (01) ◽  
pp. 59-75 ◽  
Matthieu Jonckheere ◽  
Seva Shneer

We study the conditions for positive recurrence and transience of multi-dimensional birth-and-death processes describing the evolution of a large class of stochastic systems, a typical example being the randomly varying number of flow-level transfers in a telecommunication wire-line or wireless network. First, using an associated deterministic dynamical system, we provide a generic method to construct a Lyapunov function when the drift is a smooth function on ℝN. This approach gives an elementary and direct proof of ergodicity. We also provide instability conditions. Our main contribution consists of showing how discontinuous drifts change the nature of the stability conditions and of providing generic sufficient stability conditions having a simple geometric interpretation. These conditions turn out to be necessary (outside a negligible set of the parameter space) for piecewise constant drifts in dimension two.

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