H2/H∞ control of stochastic systems with multiple decision makers: A Stackelberg game approach
H2/H∞ control of stochastic systems with multiple decision makers: A Stackelberg game approach
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DOI：
10.1109/cdc.2013.6760135
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发表时间：
2013-12
期刊：
影响因子：
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通讯作者：
H. Mukaidani
中科院分区：
文献类型：
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作者：
H. Mukaidani
研究了具有状态和外部干扰相关噪声的线性随机系统的H2/H∞控制问题.可靠决策的一个新的策略概念是Stackelberg博弈策略的应用。因此，决策者能够诱导干扰，就好像干扰正在优化分层中每个决策者的成本函数一样。研究表明，所需的策略集可以通过求解交叉耦合的代数非线性矩阵方程（CANME）来获得。为了得到一个解集，通过线性矩阵不等式技术推导出一个数值算法。一个简单的数值例子来证明所提出的方法的有效性。
In this paper, H2/H∞ control problem for linear stochastic system governed by Itô differential equation with state and external disturbance dependent noise involving multiple decision makers is investigated. A novel strategy concept for reliable decision is that Stackelberg game strategy is applied. As a result, the decision makers are able to induce the disturbance as if the disturbance is optimizing the cost function of each decision maker in hierarchical. It is shown that the required strategy set can be obtained by solving cross-coupled algebraic nonlinear matrix equations (CANMEs). In order to obtain a solution set, a numerical algorithm is derived via LMI technique. A simple numerical example is given to demonstrate the efficiency of the proposed method.