کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
4634632 1340696 2008 14 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Numerical solution of stochastic Nash games with state-dependent noise for weakly coupled large-scale systems
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Numerical solution of stochastic Nash games with state-dependent noise for weakly coupled large-scale systems
چکیده انگلیسی

This paper discusses the infinite horizon stochastic Nash games with state-dependent noise. After establishing the asymptotic structure along with the positive semidefiniteness for the solutions of the cross-coupled stochastic algebraic Riccati equations (CSAREs), a new algorithm that combines Newton’s method with two fixed point algorithms for solving the CSAREs is derived. As a result, it is shown that the proposed algorithm attains quadratic convergence and the reduced-order computations for sufficiently small parameter ε. As another important feature, the high-order approximate strategy that is based on the iterative solutions is proposed. Using such strategy, the degradation of the cost functional is investigated. Finally, in order to demonstrate the efficiency of the proposed algorithms, computational examples are provided.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Applied Mathematics and Computation - Volume 197, Issue 2, 1 April 2008, Pages 844–857
نویسندگان
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