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A Numerical Algorithm to Calculate the Unique Feedback Nash Equilibrium in a Large Scalar LQ Differential Game

Jacob Engwerda ()

Dynamic Games and Applications, 2017, vol. 7, issue 4, 635-656

Abstract: Abstract In this paper, we study scalar linear quadratic differential games with state feedback information structure. We present a numerical algorithm which determines whether this game will have no, one, or multiple equilibria. Furthermore, in case there is a unique equilibrium, the algorithm provides this equilibrium. The algorithm is efficient in the sense that it is capable of handling a large number of players. The analysis is restricted to the case the involved cost depend only on the state and control variables.

Keywords: Linear quadratic differential games; Linear feedback Nash equilibria; Coupled algebraic Riccati equations (search for similar items in EconPapers)
Date: 2017
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Handle: RePEc:spr:dyngam:v:7:y:2017:i:4:d:10.1007_s13235-016-0201-7