Numerical solution of stochastic Nash games with state-dependent noise for weakly coupled large-scale systems
Applied Mathematics and Computation 197 巻 2 号
844-857 頁
2008-04 発行
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この文献の参照には次のURLをご利用ください : https://ir.lib.hiroshima-u.ac.jp/00026408
| ファイル情報(添付) | |
| タイトル ( eng ) |
Numerical solution of stochastic Nash games with state-dependent noise for weakly coupled large-scale systems
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| 作成者 |
Sagara Muneomi
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| 収録物名 |
Applied Mathematics and Computation
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| 巻 | 197 |
| 号 | 2 |
| 開始ページ | 844 |
| 終了ページ | 857 |
| 抄録 |
This paper discusses the infinite horizon stochastic Nash games with state-dependent noise. After establishing the asymptotic structure along with the positive semidefiniteness for the solutions of the cross-coupled stochastic algebraic Riccati equations (CSAREs), a new algorithm that combines Newton's method with two fixed point algorithms for solving the CSAREs is derived. As a result, it is shown that the proposed algorithm attains quadratic convergence and the reduced-order computations for sufficiently small parameter ε. As another important feature, the high-order approximate strategy that is based on the iterative solutions is proposed. Using such strategy, the degradation of the cost functional is investigated. Finally, in order to demonstrate the efficiency of the proposed algorithms, computational examples are provided.
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| 著者キーワード |
stochastic Nash games
cross-coupled stochastic algebraic Riccati equations
CSAREs
Newton's method
Newton–Kantorovich theorem
fixed point algorithm
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| NDC分類 |
機械工学 [ 530 ]
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| 言語 |
英語
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| 資源タイプ | 学術雑誌論文 |
| 出版者 |
Elsevier Inc
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| 発行日 | 2008-04 |
| 権利情報 |
Copyright (c) 2007 Elsevier Inc
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| 出版タイプ | Author’s Original（十分な品質であるとして、著者から正式な査読に提出される版） |
| アクセス権 | オープンアクセス |
| 収録物識別子 |
[ISSN] 0096-3003
[DOI] 10.1016/j.amc.2007.08.019
[NCID] AA00543329
[DOI] http://dx.doi.org/10.1016/j.amc.2007.08.019
～の異版である
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