Numerical solution of stochastic Nash games with state-dependent noise for weakly coupled large-scale systems

DOI10.1016/J.AMC.2007.08.019MaRDI QIDQ2479261zbMATH OpenOpenAlexFDO

Authors Muneomi Sagara, Hiroaki Mukaidani, Toru Yamamoto

Publication date 26 March 2008

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://ir.lib.hiroshima-u.ac.jp/files/public/2/26408/20141016154153238963/AMC_197_844.pdf

zbMATH Keywords

Newton's methodNewton-Kantorovich theoremfixed point algorithmcross-coupled stochastic algebraic Riccati equations (CSAREs)stochastic Nash games

Mathematics Subject Classification ID

Stochastic programming (90C15) Differential games (aspects of game theory) (91A23) Linear-quadratic optimal control problems (49N10) Stochastic games, stochastic differential games (91A15)

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Cites work

• scientific article; zbMATH DE number 5016562 (Why is no real title available?)
• A Numerical Analysis of the Nash Strategy for Weakly Coupled Large-Scale Systems
• A method for finding sharp error bounds for Newton's method under the Kantorovich assumptions
• Asymptotic solutions to weakly coupled stochastic teams with nonclassical information
• Linear matrix inequalities, Riccati equations, and indefinite stochastic linear quadratic controls
• Newton's method for solving cross-coupled sign-indefinite algebraic Riccati equations for weakly coupled large-scale systems
• Numerical computation of sign-indefinite linear quadratic differential games for weakly coupled large-scale systems
• Robust H∞ infinity control in the presence of stochastic uncertainty
• Robust stabilization for a class of uncertain dynamical systems with time delay
• Stochastic $H^\infty$
• Stochastic>tex<$H_2/H_infty $>/tex<Control WithState-Dependent Noise

Cited in

(14)

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• Numerical computation of sign-indefinite linear quadratic differential games for weakly coupled large-scale systems
• Pareto Optimal Strategy for Stochastic Weakly Coupled Large Scale Systems With State Dependent System Noise
• An iterative algorithm to solve state-perturbed stochastic algebraic Riccati equations in LQ zero-sum games
• Soft-constrained stochastic Nash games for weakly coupled large-scale systems
• The Cournot game under a fuzzy decision environment
• Incentive Stackelberg games for stochastic systems
• scientific article; zbMATH DE number 5016562 (Why is no real title available?)
• Accelerated iterations for finding the soft-constrained stochastic Nash games equilibrium
• Improved methods to solve the stochastic Nash games for weakly coupled large-scale systems iteratively
• Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application
• A Numerical Analysis of the Nash Strategy for Weakly Coupled Large-Scale Systems
• The Cournot production game with multiple firms under an ambiguous decision environment
• Near-optimal control for multiparameter singularly perturbed stochastic systems

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