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2008

Numerical solution of stochastic Nash games with state-dependent noise for weakly coupled large-scale systems

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Numerical solution of stochastic Nash games with state-dependent noise for weakly coupled large-scale systems
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 . 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.
Muneomi Sagara, Hiroaki Mukaidani, Toru Yamamoto
Added 08 Dec 2010
Updated 08 Dec 2010
Type Journal
Year 2008
Where AMC
Authors Muneomi Sagara, Hiroaki Mukaidani, Toru Yamamoto
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