Finite Horizon H∞ Control for Stochastic Systems with Multiple Decision Makers

被引：0

作者：

Mukaidani, Hiroaki ^{[1
]}

Ahmed, Mostak ^{[2
]}

Xu, Hua ^{[3
]}

机构：

[1] Hiroshima Univ, Grad Sch Engn, 1-4-1 Kagamiyama, Higashihiroshima 7398527, Japan

[2] Jagannath Univ, Dept Math, Dhaka 1100, Bangladesh

[3] Univ Tsukuba, Grad Sch Business Sci, Bunkyo Ku, Tokyo 1120012, Japan

来源：

2015 54TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC) | 2015年

关键词：

H-2/H-INFINITY CONTROL; NOISE;

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 investigates the finite horizon H-infinity control problem for a class of nonlinear stochastic systems with multiple decision makers. First, it is shown that the H-infinity controllers for the decision makers can be obtained by solving a dynamic Nash game problem. In order to find the H-infinity controllers, necessary conditions for the existence of Nash equilibrium in the worst case disturbance, which consist of cross-coupled forward-backward stochastic differential equations (CFBSDEs), are derived by using stochastic maximum principle. Second, a four step scheme is adopted to develop a computational algorithm to solve the CFBSDEs. A simple practical example is solved to show the validity of the proposed method.

引用

页码：513 / 518

页数：6

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