Infinite-Horizon Team-Optimal Incentive Stackelberg Games for Linear Stochastic Systems

2016 ◽  
Vol E99.A (9) ◽  
pp. 1721-1725 ◽  
Author(s):  
Hiroaki MUKAIDANI
Keyword(s):  
Stochastic Systems ◽  
Infinite Horizon ◽  
Stackelberg Games ◽  
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.

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