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ID 26408
本文ファイル
著者
Sagara, Muneomi
キーワード
stochastic Nash games
cross-coupled stochastic algebraic Riccati equations
CSAREs
Newton's method
Newton–Kantorovich theorem
fixed point algorithm
NDC
機械工学
抄録(英)
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.
掲載誌名
Applied Mathematics and Computation
197巻
2号
開始ページ
844
終了ページ
857
出版年月日
2008-04
出版者
Elsevier Inc
ISSN
0096-3003
NCID
出版者DOI
言語
英語
NII資源タイプ
学術雑誌論文
広大資料タイプ
学術雑誌論文
DCMIタイプ
text
フォーマット
application/pdf
著者版フラグ
author
権利情報
Copyright (c) 2007 Elsevier Inc
関連情報URL(IsVersionOf)
http://dx.doi.org/10.1016/j.amc.2007.08.019
部局名
教育学研究科