Infinite horizon linear-quadratic Stackelberg games for discrete-time stochastic systems

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• 作者：Hiroaki Mukaidani^a ; ¹ ; ^{mukaida@hiroshima-u.ac.jp}Author Vitae ; Hua Xu^b ; ^{xu@mbaib.gsbs.tsukuba.ac.jp}Author Vitae
• 关键词：Stochastic systems ; Stackelberg games ; Nash games ; Cross-coupled stochastic algebraic equations (CSAEs) ; Hierarchical H&infin ; H&infin ; -constraint control
• 刊名：Automatica
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：76
• 期：Complete
• 页码：301-308
• 全文大小：620 K
• 卷排序：76

文摘

In this paper, we consider infinite horizon linear-quadratic Stackelberg games for a discrete-time stochastic system with multiple decision makers. Necessary conditions for the existence of the Stackelberg strategy set are derived in terms of the solvability of cross-coupled stochastic algebraic equations (CSAEs). As an important application, the hierarchical H∞H∞-constraint control problem for the infinite horizon discrete-time stochastic system with multiple channel inputs is solved using the Stackelberg game approach. Computational methods for solving the CSAEs are also discussed. A numerical example is provided to demonstrate the usefulness of the proposed algorithms.