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ID 26408
file
creator
Sagara, Muneomi
subject
stochastic Nash games
cross-coupled stochastic algebraic Riccati equations
CSAREs
Newton's method
Newton–Kantorovich theorem
fixed point algorithm
NDC
Mechanical engineering
abstract
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.
journal title
Applied Mathematics and Computation
volume
Volume 197
issue
Issue 2
start page
844
end page
857
date of issued
2008-04
publisher
Elsevier Inc
issn
0096-3003
ncid
publisher doi
language
eng
nii type
Journal Article
HU type
Journal Articles
DCMI type
text
format
application/pdf
text version
author
rights
Copyright (c) 2007 Elsevier Inc
relation is version of URL
http://dx.doi.org/10.1016/j.amc.2007.08.019
department
Graduate School of Education