Title :
Stochastic Nash games with state-dependent noise
Author :
Sagara, Muneomi ; Mukaidani, Hiroaki ; Yamamoto, Toru
Author_Institution :
Hiroshima Univ., Hiroshima
Abstract :
This paper discusses the infinite horizon stochastic Nash games with state-dependent noise. First, stochastic Nash games are formulated by applying the results of stochastic linear quadratic control problems. Second, in order to obtain the Nash strategy, cross-coupled stochastic algebraic Riccati equations (CSAREs) are derived. Moreover, the algorithm that is based on the Newton´s method is considered for solving the CSAREs. In order to demonstrate the efficiency of the proposed algorithms, computational examples are provided.
Keywords :
Newton method; Riccati equations; infinite horizon; linear quadratic control; stochastic games; stochastic systems; Newton method; cross-coupled stochastic algebraic Riccati equation; infinite horizon stochastic Nash game; state-dependent noise; stochastic linear quadratic control; Bismuth; Differential algebraic equations; Differential equations; Hydrogen; Infinite horizon; Large-scale systems; Newton method; Riccati equations; Stochastic resonance; Stochastic systems; Newton¿s method; cross-coupled stochastic algebraic Riccati equations (CSAREs); stochastic Nash games;
Conference_Titel :
SICE, 2007 Annual Conference
Conference_Location :
Takamatsu
Print_ISBN :
978-4-907764-27-2
Electronic_ISBN :
978-4-907764-27-2
DOI :
10.1109/SICE.2007.4421245
