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A game theoretic approach to linear systems with L2-bounded disturbances

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Author Info
Broek, W.A. van den
Engwerda, J.C.
Schumacher, J.M. (Tilburg University, Center for Economic Research)

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Abstract

The aim of the present study is to construct a state feedback controller for a given linear system that minimizes the worst-case effect of an L 2 -bounded disturbance. Our setting is different from the usual framework of H1-theory in that we consider nonzero initial conditions. The situation is modeled in a game theoretical framework, in which the controller designer acts as a minimizing player, and the uncertainty as a maximizing player. We show that a saddle-point equilibrium exists and find an optimal controller.

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Publisher Info
Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 38.

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Date of creation: 2000
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Handle: RePEc:dgr:kubcen:200038

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Related research
Keywords: Ricatti equations;

Find related papers by JEL classification:
C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General
C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

References listed on IDEAS
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  1. Martin J. Osborne & Ariel Rubinstein, 1994. "A Course in Game Theory," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262650401.
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This page was last updated on 2009-11-25.

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