Title :
Nash equilibria in risk-sensitive dynamic games
Author_Institution :
Nat. Aerosp. Lab. NLR, Amsterdam, Netherlands
fDate :
7/1/2000 12:00:00 AM
Abstract :
Dynamic games in which each player has an exponential cost criterion are referred to as risk-sensitive dynamic games. In this note, Nash equilibria are considered for such games. Feedback risk-sensitive Nash equilibrium solutions are derived for two-person discrete time linear-quadratic nonzero-sum games, both under complete state observation and shared partial observation
Keywords :
Kalman filters; covariance matrices; discrete time systems; feedback; game theory; linear quadratic control; observers; complete state observation; exponential cost criterion; feedback risk-sensitive Nash equilibrium solutions; risk-sensitive dynamic games; shared partial observation; two-person discrete time linear-quadratic nonzero-sum games; Aerodynamics; Cost function; Feedback control; History; Jacobian matrices; Leg; Nash equilibrium; Nonlinear filters; Optimal control; State feedback;
Journal_Title :
Automatic Control, IEEE Transactions on