A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations
In this paper, we are interested in the numerical aspects of the class of generalized Riccati difference equations which are involved in linear quadratic (LQ) stochastic difference games. More specifically, we address the problem of the numerical computation of the stabilizing solutions for this cla...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-04-01
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| Series: | Mathematics |
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| Online Access: | https://www.mdpi.com/2227-7390/11/9/2068 |
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| author | Samir Aberkane Vasile Dragan |
| author_facet | Samir Aberkane Vasile Dragan |
| author_sort | Samir Aberkane |
| collection | DOAJ |
| description | In this paper, we are interested in the numerical aspects of the class of generalized Riccati difference equations which are involved in linear quadratic (LQ) stochastic difference games. More specifically, we address the problem of the numerical computation of the stabilizing solutions for this class of nonlinear difference equations. We propose an iterative <i>deterministic</i> algorithm for the computation of such a global solution. The performances of the proposed algorithm are illustrated with some numerical examples. |
| first_indexed | 2024-03-11T04:13:15Z |
| format | Article |
| id | doaj.art-747b38f959bb431eaaa41fe30ff37105 |
| institution | Directory Open Access Journal |
| issn | 2227-7390 |
| language | English |
| last_indexed | 2024-03-11T04:13:15Z |
| publishDate | 2023-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Mathematics |
| spelling | doaj.art-747b38f959bb431eaaa41fe30ff371052023-11-17T23:19:34ZengMDPI AGMathematics2227-73902023-04-01119206810.3390/math11092068A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati EquationsSamir Aberkane0Vasile Dragan1Campus Sciences, Université de Lorraine, CRAN, UMR 7039, BP 70239, Vandoeuvre-les-Nancy CEDEX, 54506 Nancy, FranceInstitute of Mathematics of the Romanian Academy, P.O. Box 1-764, RO-014700 Bucharest, RomaniaIn this paper, we are interested in the numerical aspects of the class of generalized Riccati difference equations which are involved in linear quadratic (LQ) stochastic difference games. More specifically, we address the problem of the numerical computation of the stabilizing solutions for this class of nonlinear difference equations. We propose an iterative <i>deterministic</i> algorithm for the computation of such a global solution. The performances of the proposed algorithm are illustrated with some numerical examples.https://www.mdpi.com/2227-7390/11/9/2068stochastic Riccati equationsstochastic controliterative computationdeterministic approach |
| spellingShingle | Samir Aberkane Vasile Dragan A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations Mathematics stochastic Riccati equations stochastic control iterative computation deterministic approach |
| title | A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations |
| title_full | A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations |
| title_fullStr | A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations |
| title_full_unstemmed | A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations |
| title_short | A Deterministic Setting for the Numerical Computation of the Stabilizing Solutions to Stochastic Game-Theoretic Riccati Equations |
| title_sort | deterministic setting for the numerical computation of the stabilizing solutions to stochastic game theoretic riccati equations |
| topic | stochastic Riccati equations stochastic control iterative computation deterministic approach |
| url | https://www.mdpi.com/2227-7390/11/9/2068 |
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