Feedback Nash Equilibrium for Randomly Switching Differential-Algebraic Games

• Published in: IEEE transactions on automatic control Vol. 65; no. 8; pp. 3286 - 3301
• Main Authors: Tanwani, Aneel, Zhu, Quanyan
• Format: Journal Article
• Language: English
• Published: New York IEEE 01.08.2020; The Institute of Electrical and Electronics Engineers, Inc. (IEEE); Institute of Electrical and Electronics Engineers
• Subjects: Algebra; Automatic Control Engineering; Biological system modeling; Computer Science; Coupled Riccati equations; Differential equations; Differential games; differential–algebraic dynamical systems; Dynamical Systems; Feedback; Game theory; Games; generalized Hamilton–Jacobi–Bellman (HJB) equation; infinitesimal generators; Leontief input–output (IO) models; Markov processes; Mathematical analysis; Mathematical model; Mathematics; minimax robust control; Nash equilibrium; noncooperative games; Optimization and Control; piecewise deterministic Markov processes; Robust control; Software; Switches; Switching; System dynamics; Systems and Control; Zero sum games; piecewise deterministic Markov processes; Noncooperative games; differential-algebraic dynamical systems; minimax robust control; coupled Riccati equations; infinitesimal generators; Leontief input-output models; generalized HJB equation
• ISSN: 0018-9286; 1558-2523; 2334-3303; 1558-2523
• DOI: 10.1109/TAC.2019.2943577

As a subclass of stochastic differential games with algebraic constraints, this article studies dynamic noncooperative games where the dynamics are described by Markov jump differential-algebraic equations (DAEs). Theoretical tools, which require computing the extended generator and deriving Hamilton-Jacobi-Bellman equation for Markov jump DAEs, are developed. These fundamental results lead to pure feedback optimal strategies to compute the Nash equilibrium in noncooperative setting. In case of quadratic cost and linear dynamics, these strategies are obtained by solving coupled Riccati-like differential equations. Under an appropriate stabilizability assumption on system dynamics, these differential equations reduce to coupled algebraic Riccati equations when the cost functionals are considered over infinite horizon. As a first case-study, the application of our results is studied in the context of an economic system where different suppliers aim to maximize their profits subject to the market demands and fluctuations in operating conditions. The second case-study refers to the conventional problem of robust control for randomly switching linear DAEs, which can be formulated as a two-player zero sum game and is solved using the results developed in this article.