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Equilibrium in Nash differential games via Lyapunov-type iterations

Author

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  • Ivan Ganchev Ivanov
  • Boyan Mihailov Lomev

Abstract

This paper discusses the numerical solution of the coupled algebraic Riccati equations associated with the linear quadratic differential games. The Lyapunov iteration for solving the considered coupled equations is discussed by Li and Gajic (1994). We modify this iteration and derive the new algorithm with typically convergence properties for methods of such a type introduced in the literature. Finally, to demonstrate the efficiency of the proposed algorithms, computational examples are provided and numerical effectiveness of the considered algorithms is commented.

Suggested Citation

  • Ivan Ganchev Ivanov & Boyan Mihailov Lomev, 2011. "Equilibrium in Nash differential games via Lyapunov-type iterations," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 2(2), pages 115-122.
    • Handle: RePEc:ids:ijcome:v:2:y:2011:i:2:p:115-122
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