Stability and Linear Quadratic Differential Games of Discrete-Time Markovian Jump Linear Systems with State-Dependent Noise
Joint Authors
Li, Meng
Ji, Shenglin
Yan, Long
Sun, Huiying
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-11, 11 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-11-20
Country of Publication
Egypt
No. of Pages
11
Main Subjects
Abstract EN
We mainly consider the stability of discrete-time Markovian jump linear systems with state-dependent noise as well as its linear quadratic (LQ) differential games.
A necessary and sufficient condition involved with the connection between stochastic T n -stability of Markovian jump linear systems with state-dependent noise and Lyapunov equation is proposed.
And using the theory of stochastic T n -stability, we give the optimal strategies and the optimal cost values for infinite horizon LQ stochastic differential games.
It is demonstrated that the solutions of infinite horizon LQ stochastic differential games are concerned with four coupled generalized algebraic Riccati equations (GAREs).
Finally, an iterative algorithm is presented to solve the four coupled GAREs and a simulation example is given to illustrate the effectiveness of it.
American Psychological Association (APA)
Sun, Huiying& Li, Meng& Ji, Shenglin& Yan, Long. 2014. Stability and Linear Quadratic Differential Games of Discrete-Time Markovian Jump Linear Systems with State-Dependent Noise. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1044132
Modern Language Association (MLA)
Sun, Huiying…[et al.]. Stability and Linear Quadratic Differential Games of Discrete-Time Markovian Jump Linear Systems with State-Dependent Noise. Mathematical Problems in Engineering No. 2014 (2014), pp.1-11.
https://search.emarefa.net/detail/BIM-1044132
American Medical Association (AMA)
Sun, Huiying& Li, Meng& Ji, Shenglin& Yan, Long. Stability and Linear Quadratic Differential Games of Discrete-Time Markovian Jump Linear Systems with State-Dependent Noise. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-11.
https://search.emarefa.net/detail/BIM-1044132
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1044132