Performance versus informativeness in linear-quadratic Gaussian noncooperative games (Q1090258)

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Performance versus informativeness in linear-quadratic Gaussian noncooperative games
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    Performance versus informativeness in linear-quadratic Gaussian noncooperative games (English)
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    1988
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    We study the impact of informativeness on the performance of linear quadratic Gaussian Nash and Stackelberg games. We first show, that in two-person static Nash games, if one of the players acquires more information, then this extra information is beneficial to him provided that it is orthogonal to both players' information. A special case is that when one of the players is informationally stronger than the other, then any new information is beneficial to him. We then show that a similar result holds for dynamic Nash games. In the dynamic games the players use strategies that are linear functions of the current estimates of the state, generated by two Kalman filters. The same properties are proved to hold in static and feedback Stackelberg games as well.
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    information structure
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    informational properties
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    informationally stronger
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    linear quadratic Gaussian Nash and Stackelberg games
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    static Nash games
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    dynamic Nash games
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    Kalman filters
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    static and feedback Stackelberg games
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