Differential Games for Time-varying Discrete-time Stochastic Systems with Multiplicative Noise

被引：0
|
作者：
Sun Huiying [1 ]
Han Yuemin [1 ]
Tian Dongzuo [2 ]
Zhang Weihai [1 ]
机构：
[1] Shandong Univ Sci & Technol, College Informat & Elect Engn, Qingdao 266590, Peoples R China
[2] Univ Sci & Technol China, Sch Informat Sci & Technol, Hefei 230000, Peoples R China
来源：
2013 32ND CHINESE CONTROL CONFERENCE (CCC) | 2013年
基金：
高等学校博士学科点专项科研基金; 中国国家自然科学基金;
关键词：
Stochastic differential games; Time-varying discrete-time systems; Generalized algebraic Riccati equations;
D O I：
暂无
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
In this paper, we consider the differential games for time-varying discrete-time stochastic systems with multiplicative noise in finite-time horizon. We give the optimal strategies (Nash equilibrium strategies) and the optimal cost values for the stochastic differential games. It is presented that the stochastic differential games are associated with four coupled generalized algebraic Riccati equations. Furthermore, an iterative algorithm is proposed to solve the four coupled equations and an example is presented to illustrate the effectiveness of the iterative algorithm.
引用
收藏
页码：2398 / 2401
页数：4
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