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A numerical algorithm to calculate the unique feedback nash equilibrium in a large scalar LQ differential game

Engwerda,Jacob
Abstract
In this paper, we study scalar linear quadratic differential games with state feedback information structure. We present a numerical algorithm which determines whether this game will have no, one, or multiple equilibria. Furthermore, in case there is a unique equilibrium, the algorithm provides this equilibrium. The algorithm is efficient in the sense that it is capable of handling a large number of players. The analysis is restricted to the case the involved cost depend only on the state and control variables.
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2017-12
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Tilburg University Research Output Collection
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A_Numerical_Algorithm_to_Calculate_the_Unique_Feedback.pdf
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Keywords
Linear quadratic differential games, Linear feedback Nash equilibria, Coupled algebraic Riccati equations
Citation
Engwerda, J 2017, 'A numerical algorithm to calculate the unique feedback nash equilibrium in a large scalar LQ differential game', Dynamic Games and Applications, vol. 7, no. 4, pp. 635-656. https://doi.org/10.1007/s13235-016-0201-7
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https://hdl.handle.net/20.500.14602/66078
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info:eu-repo/semantics/openAccess
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