ISSN:
1573-2878
Keywords:
Nash differential games
;
weak coupling
;
coupled Riccati equations
;
recursive algorithm
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
Notes:
Abstract A recursive method is developed for the solution of coupled algebraic Riccati equations and corresponding linear Nash strategies of weakly interconnected systems. It is shown that the given algorithm converges to the exact solution with the rate of convergence ofO(ε2), where ε is a small coupling parameter. In addition, only low-order systems are involved in algebrdic computations; the amount of computations required does not grow per iteration and no analyticity assumption is imposed on the system coefficients.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF00939553
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