TY - JOUR
T1 - Mixed deterministic and stochastic disturbances in a discrete-time Nash game
AU - Jiménez-Lizárraga, Manuel
AU - Escobedo-Trujillo, Beatris Adriana
AU - López-Barrientos, José Daniel
N1 - Publisher Copyright:
© 2024 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2024/1/1
Y1 - 2024/1/1
N2 - This paper considers a discrete-time non-cooperative M-players linear affine quadratic game of pre-specified fixed duration, affected by stochastic noise and deterministic disturbances. The last one is seen as a pernicious fictitious player looking to maximise the expected cost functions of each player. Inspired in the discrete-time robust dynamic programming, sufficient conditions for the existence of a type of robust feedback NE are given in the solution of a set of discrete-time difference equations. A formal induction proof is provided for the closed form of the obtained robust set of strategies. Two illustrative simulation examples are included, one related to the problem of coordination of a two-echelon supply chain with uncertain seasonal demand. The goal of the agents is to reduce the expected cost of storage while satisfying a partially known demand. The second example is related to a game of government debt stabilisation. Comparing the simulation with the standard Nash strategy, the robust one achieves a better performance.
AB - This paper considers a discrete-time non-cooperative M-players linear affine quadratic game of pre-specified fixed duration, affected by stochastic noise and deterministic disturbances. The last one is seen as a pernicious fictitious player looking to maximise the expected cost functions of each player. Inspired in the discrete-time robust dynamic programming, sufficient conditions for the existence of a type of robust feedback NE are given in the solution of a set of discrete-time difference equations. A formal induction proof is provided for the closed form of the obtained robust set of strategies. Two illustrative simulation examples are included, one related to the problem of coordination of a two-echelon supply chain with uncertain seasonal demand. The goal of the agents is to reduce the expected cost of storage while satisfying a partially known demand. The second example is related to a game of government debt stabilisation. Comparing the simulation with the standard Nash strategy, the robust one achieves a better performance.
KW - 49N10
KW - 91A06
KW - 91A25
KW - Discrete-time games
KW - LQ games
KW - robust dynamic programming
KW - supply chains
UR - http://www.scopus.com/inward/record.url?scp=85201974293&partnerID=8YFLogxK
U2 - 10.1080/00207721.2024.2394567
DO - 10.1080/00207721.2024.2394567
M3 - Artículo
AN - SCOPUS:85201974293
SN - 0020-7721
JO - International Journal of Systems Science
JF - International Journal of Systems Science
ER -