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Communication Dans Un Congrès Année : 2018

Feedback Nash Equilibrium for Markov Jump Games under Differential-Algebraic Constraints with Application to Robust Control

Résumé

As a subclass of stochastic differential games with algebraic constraints, this article studies dynamic noncooperative games where the constraints are described by jump Markov differential-algebraic equations (DAEs). Theoretical tools, which require computing the infinitesimal generator and deriving Hamiton-Jacobi-Bellman equation for Markov jump DAEs, are developed. These fundamental results lead to pure feedback optimal strategies to compute the Nash equilibrium in noncooperative setting. In case of quadratic cost and linear dynamics, these strategies are obtained by solving coupled Riccati differential equations. The problem of robust control can be formulated as a two-player zero sum game and is solved by applying the results developed in this paper.
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Dates et versions

hal-01966137 , version 1 (27-12-2018)

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Citer

Aneel Tanwani, Quanyan Zhu. Feedback Nash Equilibrium for Markov Jump Games under Differential-Algebraic Constraints with Application to Robust Control. Proceedings 57th IEEE Conference on Decision and Control, Dec 2018, Miami, United States. pp.1124-1129, ⟨10.1109/CDC.2018.8619628⟩. ⟨hal-01966137⟩
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