IDEAS home Printed from https://ideas.repec.org/a/spr/joptap/v114y2002i1d10.1023_a1015468205980.html
   My bibliography  Save this article

Stochastic Discrete-Time Nash Games with Constrained State Estimators

Author

Listed:
  • A.R. Kian

    (Genscape)

  • J.B. Cruz

    (Ohio State University)

  • M. A. Simaan

    (University of Pittsburgh)

Abstract

In this paper, we consider stochastic linear-quadratic discrete-time Nash games in which two players have access only to noise-corrupted output measurements. We assume that each player is constrained to use a linear Kalman filter-like state estimator to implement his optimal strategies. Two information structures available to the players in their state estimators are investigated. The first has access to one-step delayed output and a one-step delayed control input of the player. The second has access to the current output and a one-step delayed control input of the player. In both cases, statistics of the process and statistics of the measurements of each player are known to both players. A simple example of a two-zone energy trading system is considered to illustrate the developed Nash strategies. In this example, the Nash strategies are calculated for the two cases of unlimited and limited transmission capacity constraints.

Suggested Citation

  • A.R. Kian & J.B. Cruz & M. A. Simaan, 2002. "Stochastic Discrete-Time Nash Games with Constrained State Estimators," Journal of Optimization Theory and Applications, Springer, vol. 114(1), pages 171-188, July.
    • Handle: RePEc:spr:joptap:v:114:y:2002:i:1:d:10.1023_a:1015468205980
    DOI: 10.1023/A:1015468205980
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1023/A:1015468205980
    File Function: Abstract
    Download Restriction: Access to the full text of the articles in this series is restricted.
    File URL: https://libkey.io/10.1023/A:1015468205980?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. A. M. Croicu & M. Y. Hussaini, 2008. "Multiobjective Stochastic Control in Fluid Dynamics via Game Theory Approach: Application to the Periodic Burgers Equation," Journal of Optimization Theory and Applications, Springer, vol. 139(3), pages 501-514, December.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joptap:v:114:y:2002:i:1:d:10.1023_a:1015468205980. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.