离散Markov切换系统的随机Nash博弈及H2H∞控制.pdfVIP

2016 年6 月 控制 工 程 Jun .2016 第23 卷第 6 期 Control Engineering ofChina Vo l.23 , NO .6 文章编号: 1671-7848(2016)06-0828-06 DOI :10.141 07/j.cnki.kzgc.140758 离散Markov 切换系统的随机Nash 博弈及H2iHc∞控制 周海英 l ，张成科2，朱怀念2 (1. 广州航海学院港口与航运管理系，广州 510725; 2. 广东工业大学经济与贸易学院， 广州 510520) 摘要: 讨论离散时间 Markov 切换系统的随机Nash 微分博弈问题。通过把单人博弈推广 到两人博弈的方法，分别得到了有限时域和元Fll 时域下的离散时间 Markov 切换系统的随 机Nash 微分博弈问题的均衡解，证明了均衡解存在的充分必要条件等价于相应的差分(代 数)Riccati 方程存在解，并给出了最优解的显式形式。最后，将所得结果应用于分析离散 时间线性 Markov 切换系统的随机混合H2fR∞鲁棒控制问题。 关键词:离散Markov 切换系统;随机微分博弈; H2fR∞鲁棒控制;阳ccati 方程 中图分类号: F244.32 文献标识码: A Stochastic Nash Games and H2/Hc∞ Control for Discrete-time Markov Jump Systems l 2 ZHOU Hai-ying , ZHANG Chen-ke 2 , ZHU Huai-nian (1. Dep创tment of Port and Sipping Management, Guangzhou Mari也ne College, Guangzhou 510725, Ch叩a; 2.School of Economics Commence, Guangdong University ofTechnology, Guangzhou 510520, China) Abstract : In this paper, linear quadratic stochastic Nash differential games for discrete-time Markov jump systems in finite time horizon and infinite time horizon are studied respectively. By utilizing the results of one-person differential game for Markov jump Iinear systems, the existence conditions of the two-person stochastic differential games are 叫uivalent to the solvability of theωsociated algebraic Riccati equations . Moreover, the explicit expressions of the optimal strategies are constructed. The results 缸e a1so applied to the mixedH2fR∞ robust control problem for stochasti