Constructive design of open-loop Nash equilibrium strategies that admit a feedback synthesis in LQ games
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Accepted version
Author(s)
Astolfi, Alessandro
Sassano, mario
Type
Journal Article
Abstract
Open-loop Nash equilibrium strategies that admit a feedback synthesis in Linear-Quadratic (LQ) games are studied. A
characterization alternative to the classic system of coupled (asymmetric) Riccati equations - one for each player - is provided
by relying on a fixed-point argument based on the composition of flows of the underlying state/costate dynamics. As a result,
it is shown that in competitive games, namely games in which the players influence the shared state via linearly independent
input channels, the characterization of Nash equilibrium strategies hinges upon the solution to a single (regardless of the
number of players), sign-definite Riccati equation, with coefficients described by polynomial functions of the feedback gains.
The structure of the latter equation is computationally appealing since it naturally allows for gradient-descent algorithms on
matrix manifolds, thus ensuring (local) guaranteed convergence to the equilibrium strategy. In the case of antagonistic games,
namely games in which the players may share linearly dependent input directions, the fixed-point condition above is combined
with a geometric requirement involving the largest invariant subspace contained in the kernel of an auxiliary output matrix.
Finally, by building on the latter characterization it is shown that closed-form expressions for the equilibrium strategy for a
class of dynamic games can be given
characterization alternative to the classic system of coupled (asymmetric) Riccati equations - one for each player - is provided
by relying on a fixed-point argument based on the composition of flows of the underlying state/costate dynamics. As a result,
it is shown that in competitive games, namely games in which the players influence the shared state via linearly independent
input channels, the characterization of Nash equilibrium strategies hinges upon the solution to a single (regardless of the
number of players), sign-definite Riccati equation, with coefficients described by polynomial functions of the feedback gains.
The structure of the latter equation is computationally appealing since it naturally allows for gradient-descent algorithms on
matrix manifolds, thus ensuring (local) guaranteed convergence to the equilibrium strategy. In the case of antagonistic games,
namely games in which the players may share linearly dependent input directions, the fixed-point condition above is combined
with a geometric requirement involving the largest invariant subspace contained in the kernel of an auxiliary output matrix.
Finally, by building on the latter characterization it is shown that closed-form expressions for the equilibrium strategy for a
class of dynamic games can be given
Date Issued
2021-11
Date Acceptance
2021-06-14
Citation
Automatica, 2021, 133, pp.1-12
ISSN
0005-1098
Publisher
Elsevier
Start Page
1
End Page
12
Journal / Book Title
Automatica
Volume
133
Copyright Statement
© 2021 Elsevier Ltd. All rights reserved. This manuscript is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International Licence http://creativecommons.org/licenses/by-nc-nd/4.0/
Sponsor
Commission of the European Communities
Identifier
https://www.sciencedirect.com/science/article/pii/S0005109821003605?via%3Dihub
Grant Number
664639
Subjects
Science & Technology
Technology
Automation & Control Systems
Engineering, Electrical & Electronic
Engineering
MODEL
Industrial Engineering & Automation
01 Mathematical Sciences
08 Information and Computing Sciences
09 Engineering
Publication Status
Published
Date Publish Online
2021-08-14