Title :
Adaptive estimation of stochastic differential games
Author_Institution :
Sch. of Electr. Eng. & Telecommun., Univ. of New South Wales, Sydney, NSW, Australia
Abstract :
We consider online estimation in the classic linear-quadratic dynamic stochastic zero sum two player game with unknown system parameters. We construct a fixed gain adaptive algorithm and give a stochastic averaging analysis of its behaviour. Previous stochastic work has not treated fixed gain algorithms which are needed in practice to enable tracking.
Keywords :
differential games; stochastic games; classic linear-quadratic dynamic stochastic zero sum two player game; fixed gain adaptive algorithm; online estimation; stochastic averaging analysis; stochastic differential games; Algorithm design and analysis; Barium; Equations; Estimation; Games; Stability analysis; Vectors;
Conference_Titel :
Decision and Control (CDC), 2012 IEEE 51st Annual Conference on
Conference_Location :
Maui, HI
Print_ISBN :
978-1-4673-2065-8
Electronic_ISBN :
0743-1546
DOI :
10.1109/CDC.2012.6426983
