A Game Theoretic Approach to Linear Systems with L2-bounded Disturbances
AbstractThe 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 L2 -bounded disturbance. Our setting is different from the usual framework of H -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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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2000-38.
Date of creation: 2000
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Linear uncertain systems; game theory; algebraic Riccati 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
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- Martin J Osborne & Ariel Rubinstein, 2009.
"A Course in Game Theory,"
814577000000000225, UCLA Department of Economics.
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