Non-cooperative stochastic adaptive multi-player games
HU Hao-yang
GUO Lei
Abstract：In this paper, we consider non-cooperative stochastic adaptive multi-player games described by linear discrete-time stochastic systems with unknown parameters. The least-squares algorithm together with the certainty e-quivalence principle is used by each player in designing the strategy for optimizing its own one-step-ahead payoff function. It will be shown that the resulting adaptive strategy profile can make the closed-loop system globally stable and at the same time, the profile converges to an asymptotic Nash equilibrium in some sense.
Keywords：linear stochastic systemadaptive gamesleast-squares algorithmglobally stableasymptotic Nash equi-librium
Publication Date：2018-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：7( 637-643 )