• DocumentCode
    592617
  • Title

    Adaptive estimation of stochastic differential games

  • Author

    Solo, Victor

  • Author_Institution
    Sch. of Electr. Eng. & Telecommun., Univ. of New South Wales, Sydney, NSW, Australia
  • fYear
    2012
  • fDate
    10-13 Dec. 2012
  • Firstpage
    5428
  • Lastpage
    5433
  • Abstract
    We consider online estimation in the classic linear-quadratic dynamic stochastic zero sum two player game with unknown system parameters. We construct a fixed gain adaptive algorithm and give a stochastic averaging analysis of its behaviour. Previous stochastic work has not treated fixed gain algorithms which are needed in practice to enable tracking.
  • Keywords
    differential games; stochastic games; classic linear-quadratic dynamic stochastic zero sum two player game; fixed gain adaptive algorithm; online estimation; stochastic averaging analysis; stochastic differential games; Algorithm design and analysis; Barium; Equations; Estimation; Games; Stability analysis; Vectors;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Decision and Control (CDC), 2012 IEEE 51st Annual Conference on
  • Conference_Location
    Maui, HI
  • ISSN
    0743-1546
  • Print_ISBN
    978-1-4673-2065-8
  • Electronic_ISBN
    0743-1546
  • Type

    conf

  • DOI
    10.1109/CDC.2012.6426983
  • Filename
    6426983
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=592617