Numerical Algorithm for Solving Cross-Coupled Multiparameter Algebraic Riccati Equations of Multimodeling Systems Related to Nash Games

Hiroaki Mukaidani (), Tetsu Shimomura () and Hua Xu ()
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Hiroaki Mukaidani: Hiroshima City University, Faculty of Information Sciences
Tetsu Shimomura: Hiroshima University, Graduate School of Education
Hua Xu: The University of Tsukuba, Graduate School of Business Sciences

A chapter in ICM Millennium Lectures on Games, 2003, pp 359-371 from Springer

Abstract: Summary We study linear quadratic Nash games for infinite horizon multiparameter singularly perturbed systems (MSPS). We propose a new algorithm which is based on the Kleinman algorithm for solving the generalized cross-coupled multiparameter algebraic Riccati equations (GCMARE). It is shown that the resulting algorithm guarantees quadratic convergence. Simulation results show that the proposed algorithm succeeds in dramatically improving the convergence rate compared with previous results.

Keywords: Multiparameter singularly perturbed systems (MSPS); Linear quadratic Nash games; Generalized cross-coupled multiparameter algebraic Riccati equations (GCMARE); Kleinman algorithm (search for similar items in EconPapers)
Date: 2003
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-662-05219-8_23

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DOI: 10.1007/978-3-662-05219-8_23

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