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Dynamic games and applications, 2022-12, Vol.12 (4), p.1221-1279
Ort / Verlag
New York: Springer US
Erscheinungsjahr
2022
Link zum Volltext
Quelle
SpringerLink (Online service)
Beschreibungen/Notizen
In this paper, we consider the design of equilibrium linear feedback control policies in an uncertain process (e.g., an economy) affected by either one or more players. We consider a process which nominal (commonly believed) development in time is described by a linear system. Assuming every player is risk averse and has his own expectation about a worst-case development of the nominal process we model this problem using a linear quadratic differential game framework. Conditions under which equilibrium policies exist are studied. Assuming players have an infinite planning horizon, we provide a complete description in case the system is scalar, whereas for the multi-variable case, we provide existence results for some important classes of systems.