Moving horizon control in dynamic games

A new solution concept based on moving horizon control is introduced in the area of nonzero-sum infinite-horizon differential games. In this concept the players have a feedback information pattern. Aspects of finite-horizon open-loop Nash equilibria are also incorporated in the moving horizon soluti...

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Bibliographic Details
Published in:Journal of economic dynamics & control 2002-06, Vol.26 (6), p.937-961
Main Author: van den Broek, W.A.
Format: Article
Language:English
Subjects:
Differential games
Dynamic programming
Dynamics
Economic analysis
Economics
Feedback information pattern
Game theory
Games
Information
Linear-quadratic games
Moving horizon control
Studies
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Summary:A new solution concept based on moving horizon control is introduced in the area of nonzero-sum infinite-horizon differential games. In this concept the players have a feedback information pattern. Aspects of finite-horizon open-loop Nash equilibria are also incorporated in the moving horizon solution concept. The feedback information pattern makes the concept of practical significance and the open-loop elements result in good analytic tractability. Special attention is paid to the class of linear-quadratic games. The analytic computability of the moving horizon solution is illustrated by an analysis of the scalar case and an economic example.
ISSN:0165-1889
1879-1743
DOI:10.1016/S0165-1889(01)00004-5