Linear-Quadratic Differential Games for Discrete-Time Stochastic Systems with Markov Jumps and Multiplicative Noise
In this paper,we consider the finite horizon nonzero-sum linear quadratic differential games for discrete-time s-tochastic systems with Markovian jumping parameters and multiplicative noise.A suf ficient condition for the solutions of linear quadratic differential games is established from the solvability of four coupled generalized difference Riccati equations.More-over,an iterative algorithm is employed to solve the four coupled equations and an illustrative example is also proposed to demonstrate the ef ficiency of the algorithm.
SUN Huiying JIANG Liuyang
College of Information and Electrical Engineering,Shandong University of Science and Technology,Qingdao 266510,P.R.China
国际会议
The 30th Chinese Control Conference(第三十届中国控制会议)
烟台
英文
1-4
2011-07-01（万方平台首次上网日期，不代表论文的发表时间）