6533b821fe1ef96bd127c0d1
RESEARCH PRODUCT
Solution of coupled riccati equations occurring in nash games
L. JodarH. Abou-kandilsubject
Matrix (mathematics)Simple (abstract algebra)Iterative methodApproximation errorComputingMethodologies_SYMBOLICANDALGEBRAICMANIPULATIONDifferential gameMatrix normRiccati equationApplied mathematicsMathematical economicsAlgebraic Riccati equationMathematicsdescription
To obtain the open-loop Nash strategy for a linear-quadratic differential game, a set of coupled matrix Riccati equations has to be solved. It is shown that by means of algebraic transformations, the original problem can be reduced to another one to which the successive approximation method is applicable. This leads to a simple iterative algorithm with a predetermined approximation error. An example is given to illustrate the proposed method.
| year | journal | country | edition | language |
|---|---|---|---|---|
| 2006-02-06 |