Infinite horizon linear quadratic stochastic Nash differential games of Markov jump linear systems with its application.
Huai-Nian ZhuCheng-Ke ZhangNing BinPublished in: Int. J. Syst. Sci. (2014)
Keyphrases
- linear systems
- linear quadratic
- infinite horizon
- optimal control
- dynamical systems
- stochastic games
- markov chain
- state space
- nash equilibria
- nash equilibrium
- game theory
- dynamic programming
- finite horizon
- sufficient conditions
- optimal policy
- markov decision processes
- stochastic demand
- sparse linear systems
- control strategy
- average cost
- closed loop
- long run
- reinforcement learning
- machine learning
- vector valued
- multistage
- control system
- search space
- optimal solution