Linear infinite horizon quadratic differential games for stochastic systems: Discrete-time case

Author

Sun, Huiying ; Jiang, Liuyang

Author_Institution

Coll. of Inf. & Electr. Eng., Shandong Univ. of Sci. & Technol., Qingdao, China

fYear

2011

fDate

23-25 May 2011

Firstpage

1733

Lastpage

1737

Abstract

This paper deals with the infinite horizon linear quadratic (LQ) differential games for discrete-time stochastic systems with both state and control dependent noise. The Popov-Belevitch-Hautus (PBH) criteria for exact observability and exact detectability of discrete-time stochastic systems are presented. By using them, we give the optimal strategies (Nash equilibrium strategies) and the optimal cost values for infinite horizon stochastic differential games. It is indicated that the infinite horizon LQ stochastic differential games are associated with four coupled matrix-valued equations.

Keywords

cost optimal control; differential games; discrete time systems; infinite horizon; linear quadratic control; linear systems; matrix algebra; observability; stochastic systems; Nash equilibrium; Popov-Belevitch-Hautus criteria; control dependent noise; coupled matrix-valued equation; discrete-time systems; exact detectability; exact observability; linear infinite horizon quadratic differential games; optimal cost; state noise; stochastic systems; Equations; Games; Noise; Observability; Stochastic processes; Stochastic systems; Tin; Differential games; Discrete-time stochastic systems; Exact detectability; Exact observability; Nash equilibrium;

fLanguage

English

Publisher

ieee

Conference_Titel

Control and Decision Conference (CCDC), 2011 Chinese

Conference_Location

Mianyang

Print_ISBN

978-1-4244-8737-0

Type

conf

DOI

10.1109/CCDC.2011.5968476

Filename

5968476