Solving Coupled Algebraic Riccati Equations from Closed-Loop Nash Strategy, by Lack of Trust Approach

Marc Jungers (1) , Edson Roberto de Pieri (2) , Hisham Abou-Kandil (1)

1 SATIE - Systèmes et Applications des Technologies de l'Information et de l'Energie
2 DAS - Departamento de Automação e Sistemas

The introduction of Lack of Trust's notion in Game Theory allows to put together the Nash strategies for an open-loop information structure and for a closed-loop one. This link is exploited in this paper in order to develop an iterative algorithm based on the resolution of non-symmetric Riccati equation at each step, for solving coupled algebraic Riccati equations from closed-loop Nash strategy. Different known algorithms are presented as comparison on classical examples from the literature

Mots clés: Cheating; lack of trust; Nash strategy; Games Theory; LQ control; Coupled Riccati Equations; numerical algorithm; open-loop information structure; closed-loop information structure; closed-loop information structure.

Domaines: Automatique

Marc Jungers, Edson Roberto de Pieri, Hisham Abou-Kandil. Solving Coupled Algebraic Riccati Equations from Closed-Loop Nash Strategy, by Lack of Trust Approach. 13th IFAC Control Applications of Optimisation, Apr 2006, Cachan, France. pp.CD-ROM. ⟨hal-00201385⟩