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A Numerical Algorithm to Calculate the Unique Feedback Nash Equilibrium in a Large Scalar LQ Differential Game
Jacob Engwerda - Personal Name
Inthispaper,westudyscalarlinearquadraticdifferentialgameswithstatefeedback
information structure. We present a numerical algorithm which determines whether this game
will have no, one, or multiple equilibria. Furthermore, in case there is a unique equilibrium,
the algorithm provides this equilibrium. The algorithm is efficient in the sense that it is capable
of handling a large number of players. The analysis is restricted to the case the involved cost
depend only on the state and control variables.
information structure. We present a numerical algorithm which determines whether this game
will have no, one, or multiple equilibria. Furthermore, in case there is a unique equilibrium,
the algorithm provides this equilibrium. The algorithm is efficient in the sense that it is capable
of handling a large number of players. The analysis is restricted to the case the involved cost
depend only on the state and control variables.
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Linear quadratic differential games
Linear feedback Nash equilibria
Coupled algebraic Riccati equations
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