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A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances
van den Broek,W.A. Engwerda,J.C. Schumacher,J.M.
van den Broek,W.A.
Engwerda,J.C.
Schumacher,J.M.
Abstract
The aim of the present study is to construct a state feedback controller for a given linear system that minimizes the worst-case effect of an L2 -bounded disturbance. Our setting is different from the usual framework of H -theory in that we consider nonzero initial conditions. The situation is modeled in a game theoretical framework, in which the controller designer acts as a minimizing player, and the uncertainty as a maximizing player. We show that a saddle-point equilibrium exists and find an optimal controller.
Description
Pagination: 12
Date
2000
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Publisher
Macroeconomics
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38.pdf
Adobe PDF, 197.65 KB
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Keywords
Linear uncertain systems, game theory, algebraic Riccati equations, C70 - General, C72 - Noncooperative Games, C73 - Stochastic and Dynamic Games ; Evolutionary Games ; Repeated Games
Citation
van den Broek, W A, Engwerda, J C & Schumacher, J M 2000 'A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances' CentER Discussion Paper, vol. 2000-38, Macroeconomics, Tilburg.