Affiliation:
1. College of Mathematics and Systems Science, Shandong University of Science and Technology, Qingdao 266590, China
Abstract
This paper is to study finite horizon linear quadratic (LQ) non-zero sum Nash game for discrete-time infinite Markov jump stochastic systems (IMJSSs). Based on the theory of stochastic analysis, a countably infinite set of coupled generalized algebraic Riccati equations are solved and a necessary and sufficient condition for the existence of Nash equilibrium points is obtained. From a new perspective, the finite horizon mixed robust H2/H∞ control is investigated, and summarize the relationship between Nash game and H2/H∞ control problem. Moreover, the feasibility and validity of the proposed method has been proved by applying it to a numerical example.
Funder
Natural Science Foundation of Qingdao
ocial Science Planning and Research Special Project of Shandong Province
Natural Science Foundation of China
Natural Science Foundation of Shandong Province
People Benefit Project of Qingdao
Subject
Geometry and Topology,Logic,Mathematical Physics,Algebra and Number Theory,Analysis
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