Linear Quadratic Differential Games for Discrete-Times Markovian Jump Stochastic Linear Systems: Infinite-Horizon Case

被引：0
|
作者：
Sun Huiying [1 ]
Feng Chunyu [1 ]
Jiang Liuyang [1 ]
机构：
[1] Shandong Univ Sci & Technol, Coll Informat & Elect Engn, Qingdao 266510, Peoples R China
来源：
2011 30TH CHINESE CONTROL CONFERENCE (CCC) | 2011年
关键词：
Markovian jumps; Discrete-time linear systems; Stochastic stability; Differential games; Generalized algebraic Riccati equations; EXPONENTIAL STABILITY; DELAY;
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：
This paper deals with the infinite horizon linear quadratic differential games for discrete-time Marovian jump stohastic linear systems with finite number of jump times. By using the relation between the stability of discrete-time Markovian Jump stochastic linear systems and the Lyapunov equation, a theorem is derived on finding the optimal strategies and. the optimal. cost values for infinite horizon stochastic differential games is derived. It is also indicated that the solutions of infinite horizon linear quadratic stochastic differential games are associated with four coupled generalized algebraic Riccati equations. Furthermore, an iterative algorithm is proposed to solve the four coupled generalized algebraic Riccati equations.
引用
收藏
页码：1983 / 1986
页数：4
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