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Communication Dans Un Congrès Année : 2004

Properties of coupled Riccati equations in Stackelberg games with time preference rate

Résumé

In this paper we deal with Stackelberg equilibrium in linear-quadratic games when a time preference rate is introduced in the players' cost functions with an open loop information structure. We apply general necessary conditions from \cite{Simaan1,Simaan2} to our framework with a time preference rate. Such conditions lead to a set of coupled differential (or algebraic) Riccati equations. Necessary conditions for constant real solutions for the algebraic Riccati equations (ARE) are derived. We give a bound for the number of real, constant and stabilizing solutions. When many solutions of (ARE) exist, a robustness study gives informations to choose the most robust control. A numerical example illustrates these results.
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Dates et versions

hal-00201379 , version 1 (28-12-2007)

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  • HAL Id : hal-00201379 , version 1

Citer

Marc Jungers, Hisham Abou-Kandil. Properties of coupled Riccati equations in Stackelberg games with time preference rate. 2nd IFAC Symposium on System, Structure and Control (SSSC), Dec 2004, Oaxaca, Mexico. pp.CD-ROM. ⟨hal-00201379⟩
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