Abstract
A recursive method is developed for the solution of coupled algebraic Riccati equations and corresponding linear Nash strategies of weakly interconnected systems. It is shown that the given algorithm converges to the exact solution with the rate of convergence of O(ε2), where ε is a small coupling parameter. In addition, only low-order systems are involved in algebrdic computations; the amount of computations required does not grow per iteration and no analyticity assumption is imposed on the system coefficients.
| Original language | American English |
|---|---|
| Pages (from-to) | 463-477 |
| Number of pages | 15 |
| Journal | Journal of Optimization Theory and Applications |
| Volume | 56 |
| Issue number | 3 |
| DOIs | |
| State | Published - Mar 1988 |
ASJC Scopus subject areas
- Control and Optimization
- Management Science and Operations Research
- Applied Mathematics
Keywords
- Nash differential games
- coupled Riccati equations
- recursive algorithm
- weak coupling