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LQG Dynamic Games with a Control-Sharing Information Pattern

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  • Meir Pachter

    (Air Force Institute of Technology)

Abstract

“Zero-sum” linear-quadratic Gaussian dynamic games (LQGDGs) where the players have partial information are considered. The players’ initial state information and their measurements are private information, but each player is able to observe his antagonist’s past inputs: The protagonists’ past controls are shared information. Although this is a game with partial information, the control-sharing information pattern renders the game amenable to solution by Dynamic Programming. Three Riccati equations and a Lyapunov equation must be solved. The solution of LQGDGs with a control-sharing information pattern is obtained in closed-form.

Suggested Citation

  • Meir Pachter, 2017. "LQG Dynamic Games with a Control-Sharing Information Pattern," Dynamic Games and Applications, Springer, vol. 7(2), pages 289-322, June.
    • Handle: RePEc:spr:dyngam:v:7:y:2017:i:2:d:10.1007_s13235-016-0182-6
    DOI: 10.1007/s13235-016-0182-6
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    References listed on IDEAS

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    1. R. J. Aumann & M. Maschler, 1972. "Some Thoughts on the Minimax Principle," Management Science, INFORMS, vol. 18(5-Part-2), pages 54-63, January.
    2. M. Pachter & K. D. Pham, 2010. "Discrete-Time Linear-Quadratic Dynamic Games," Journal of Optimization Theory and Applications, Springer, vol. 146(1), pages 151-179, July.
    3. John C. Harsanyi, 1967. "Games with Incomplete Information Played by "Bayesian" Players, I-III Part I. The Basic Model," Management Science, INFORMS, vol. 14(3), pages 159-182, November.
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    Cited by:

    1. Ben Hambly & Renyuan Xu & Huining Yang, 2023. "Linear-quadratic Gaussian Games with Asymmetric Information: Belief Corrections Using the Opponents Actions," Papers 2307.15842, arXiv.org.

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