离散随机线性Markov切换系统的Stackelberg策略  

Linear quadratic stochastic stackelberg games for discrete-time markov jump systems

作　　者：周海英[1] 张成科[2] 宾宁[3] 熊海鸥[1] ZHOU Haiying ZHANG Chengke BIN Ning XIONG Haiou(Department of Port and Sipping Management,Guangzhou Maritime College,Guangzhou 510725,China School of Economics ＆ Commence, Guangdong University of Technology, Guangzhou 510520, China School of management, Guangdong University of Technology, Guangzhou 510520, China)

机构地区：[1]广州航海学院,港口与航运管理系,广州510725 [2]广东工业大学经济与贸易学院,广东广州510520 [3]广东工业大学管理学院,广东广州510520

出　　处：《南昌大学学报（理科版）》2016年第6期542-547,共6页Journal of Nanchang University(Natural Science)

基　　金：广东省自然科学基金项目(2014A030310366);广东省教育厅育苗项目(13zk0412);创新强项工程项目(A510714,A330115)

摘　　要：讨论有限时域和无限时域情形下的离散时间随机线性Markov切换系统的Stackelberg博弈问题,应用极大值原理,分别得到有限时域和无限时域情形下的Stackelberg策略,并给出最优解的显式形式。最后给出了数值算例。In this paper,the linear quadratic stochastic Stackelberg games for Markov jump linear systems in discrete-time were studied.By utilizing the maximum principle,the existence condition of finite-time and infinite-time horizon Stackelberg games was shown to be equivalent to the solvability of the associated algebraic Riccati equations.Moreover,the explicit expressions of the optimal strategies were constructed,and the numerical simulation was also given.

关 键 词：离散时间 随机线性Markov切换系统 Stackelberg策略 

分 类 号：F224.32[经济管理—国民经济]