DocumentCode
15897
Title
Relationship Between Nash Equilibrium Strategies and 
Control of Stochastic Markov Jump Systems With Multiplicative Noise
Author
Li Sheng ; Weihai Zhang ; Ming Gao
Author_Institution
Coll. of Inf. & Control Eng., China Univ. of Pet. (East China), Qingdao, China
Volume
59
Issue
9
fYear
2014
fDate
Sept. 2014
Firstpage
2592
Lastpage
2597
Abstract
This technical note is concerned with discussing the relationship between Nash equilibrium strategies and the finite horizon H2/H∞ control of time-varying stochastic systems subject to Markov jump parameters and multiplicative noise. It is revealed that the equivalence of these two problems depends on whether the disturbance enters into the diffusion term. Furthermore, necessary and sufficient conditions for the finite horizon H2/H∞ control of stochastic Markov jump systems are presented via coupled matrix-valued equations.
Keywords
H∞ control; Markov processes; game theory; matrix algebra; stochastic systems; H2-H∞ control; Nash equilibrium strategies; coupled matrix-valued equations; diffusion term; finite horizon control; multiplicative noise; necessary conditions; stochastic markov jump systems; sufficient conditions; time-varying stochastic systems; Control systems; Markov processes; Nash equilibrium; Noise; Riccati equations; Standards; Symmetric matrices; Coupled Riccati equations; Nash equilibrium strategies; stochastic $H_{2}/H_{infty}$ control; stochastic Markov jump systems;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.2014.2309274
Filename
6754171
Link To Document