Linear Quadratic Differential Games for Discrete-Times Markovian Jump Stochastic Linear Systems:In nite-Horizon Case

摘要：

This paper deals with the in nite horizon linear quadratic differential games for discrete-time Markovian jump stochas-tic linear systems with nite number of jump times.By using the relation between the stability of discrete-time Markovian jump stochastic linear systems and the Lyapunov equation,a theorem is derived on nding the optimal strategies and the optimal cost values for in nite horizon stochastic differential games is derived.It is also indicated that the solutions of in nite horizon linear quadratic stochastic differential games are associated with four coupled generalized algebraic Riccati equations.Furthermore,an iterative algorithm is proposed to solve the four coupled generalized algebraic Riccati equations.

作者: SUN Huiying FENG Chunyu JIANG Liuyang

作者单位: College of Information and Electrical Engineering,Shandong University of Science and Technology,Qingdao 266510,P.R.China

会议类型: 国际会议

会议名称: The 30th Chinese Control Conference(第三十届中国控制会议)

会议地点: 烟台

会议语种:英文

页码: 1-4

在线出版日期: 2011-07-01（万方平台首次上网日期，不代表论文的发表时间）