LQG Dynamic Games with a Control-Sharing Information Pattern

Meir Pachter ()
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Meir Pachter: Air Force Institute of Technology

Dynamic Games and Applications, 2017, vol. 7, issue 2, No 7, 289-322

Abstract: Abstract “Zero-sum” linear-quadratic Gaussian dynamic games (LQGDGs) where the players have partial information are considered. The players’ initial state information and their measurements are private information, but each player is able to observe his antagonist’s past inputs: The protagonists’ past controls are shared information. Although this is a game with partial information, the control-sharing information pattern renders the game amenable to solution by Dynamic Programming. Three Riccati equations and a Lyapunov equation must be solved. The solution of LQGDGs with a control-sharing information pattern is obtained in closed-form.

Keywords: Dynamic game; Linear-quadratic Gaussian; Partial information (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1007/s13235-016-0182-6

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