Infinite horizon linear-quadratic Stackelberg games for discrete-time stochastic systems
Infinite horizon linear-quadratic Stackelberg games for discrete-time stochastic systems
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DOI：
10.1016/j.automatica.2016.10.016
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发表时间：
2017-02
期刊：
影响因子：
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通讯作者：
H. Mukaidani;Hua Xu
中科院分区：
文献类型：
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作者：
H. Mukaidani;Hua Xu
本文研究了具有多个决策者的离散随机系统的无限时域线性二次Stackelberg对策。利用交叉耦合随机代数方程组的可解性，导出了Stackelberg策略集存在的必要条件。作为一个重要的应用，利用Stackelberg对策方法解决了具有多个通道输入的无穷时域离散随机系统的递阶H∞约束控制问题。还讨论了求解CSAE的计算方法。最后通过数值算例验证了算法的有效性。
In this paper, we consider infinite horizon linear-quadratic Stackelberg games for a discrete-time stochastic system with multiple decision makers. Necessary conditions for the existence of the Stackelberg strategy set are derived in terms of the solvability of cross-coupled stochastic algebraic equations (CSAEs). As an important application, the hierarchical H∞-constraint control problem for the infinite horizon discrete-time stochastic system with multiple channel inputs is solved using the Stackelberg game approach. Computational methods for solving the CSAEs are also discussed. A numerical example is provided to demonstrate the usefulness of the proposed algorithms.