Abstract
A recursive method is developed for the solution of coupled algebraic Riccati equations and corresponding linear Nash strategies of weakly interconnected systems. It is shown that the given algorithm converges to the exact solution with the rate of convergence ofO(ε2), where ε is a small coupling parameter. In addition, only low-order systems are involved in algebrdic computations; the amount of computations required does not grow per iteration and no analyticity assumption is imposed on the system coefficients.
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Communicated by J. B. Cruz, Jr.
This work was supported by Rutgers University Research Council under Grant No. 2-02188.
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Petrovic, B., Gajic, Z. Recursive solution of linear-quadratic Nash games for weakly interconnected systems. J Optim Theory Appl 56, 463–477 (1988). https://doi.org/10.1007/BF00939553
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DOI: https://doi.org/10.1007/BF00939553