LQ dynamic optimization and differential games /

LQ dynamic optimization and differential games /

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Bibliographic Details
Author / Creator:Engwerda, Jacob.
Imprint:Chichester, West Sussex, England Hoboken, NJ : J. Wiley & Sons, c2005.
Description:xii, 497 p. : ill. ; 25 cm.
Language:English
Subject:
Game theory.
Differential games.
Mathematical optimization.
Decision-making.
Econometric models.
Decision making.
Differential games.
Econometric models.
Game theory.
Mathematical optimization.
Format: Print Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/5808584
Hidden Bibliographic Details
ISBN:0470015241 (alk. paper)
Notes:Includes bibliographical references (p. [485]-494) and index.
Table of Contents:
  • Preface
  • Notation and Symbols
  • 1. Introduction
  • 1.1. Historical Perspective
  • 1.2. How to Use This Book
  • 1.3. Outline of The Book
  • 1.4. Notes and References
  • 2. Linear Algebra
  • 2.1. Basic Concepts in Linear Algebra
  • 2.2. Eigenvalues and Eigenvectors
  • 2.3. Complex Eigenvalues
  • 2.4. CayleyâÇôHamilton Theorem
  • 2.5. Invariant Subspaces and Jordan Canonical Form
  • 2.6. SemiâÇôdefinite Matrices
  • 2.7. Algebraic Riccati Equations
  • 2.8. Notes and References
  • 2.9. Exercises
  • 2.10. Appendix
  • 3. Dynamical Systems
  • 3.1. Description of Linear Dynamical Systems
  • 3.2. ExistenceâÇôUniqueness Results for Differential Equations
  • 3.3. Stability Theory: General Case
  • 3.4. Stability Theory of Planar Systems
  • 3.5. Geometric Concepts
  • 3.6. Performance Specifications
  • 3.7. Examples of Differential Games
  • 3.8. Information, Commitment and Strategies
  • 3.9. Notes and References
  • 3.10. Exercises
  • 3.11. Appendix
  • 4. Optimization Techniques
  • 4.1. Optimization of Functionals
  • 4.2. The EulerâÇôLagrange Equation
  • 4.3. PontryaginâÇÖs Maximum Principle
  • 4.4. Dynamic Programming Principle
  • 4.5. Solving Optimal Control Problems
  • 4.5. Notes and References
  • 4.6. Exercises
  • 4.7. Appendix
  • 5. Regular Linear Quadratic Optimal Control
  • 5.1. Problem Statement
  • 5.2. FiniteâÇôPlanning Horizon
  • 5.3. Riccati Differential Equations
  • 5.4. InfiniteâÇôPlanning Horizon
  • 5.5. Convergence Results
  • 5.6. Notes and References
  • 5.7. Exercises
  • 5.8. Appendix
  • 6. Cooperative Games
  • 6.1. Pareto Solutions
  • 6.2. Bargaining Concepts
  • 6.3. Nash Bargaining Solution
  • 6.4. Numerical Solution
  • 6.5. Notes and References
  • 6.6. Exercises
  • 6.7. Appendix
  • 7. NonâÇôCo operative OpenâÇôLoop Information Games
  • 7.1. Introduction
  • 7.2. FiniteâÇôPlanning Horizon
  • 7.3. OpenâÇôLoop Nash Algebraic Riccati Equations
  • 7.4. InfiniteâÇôPlanning Horizon
  • 7.5. Computational Aspects and Illustrative Examples
  • 7.6. Convergence Results
  • 7.7. Scalar Case
  • 7.8. Economic Examples
  • 7.9. Notes and References
  • 7.10. Exercises
  • 7.11. Appendix
  • 8. NonâÇôCooperative Feedback Information Games
  • 8.1. Introduction
  • 8.2. FiniteâÇôPlanning Horizon
  • 8.3. InfiniteâÇôPlanning Horizon
  • 8.4. TwoâÇôPlayer Scalar Case
  • 8.5. Computational Aspects
  • 8.6. Convergence Results for the TwoâÇôPlayer Scalar Case
  • 8.7. Notes and References
  • 8.8. Exercises
  • 8.8. Appendix
  • 9. Uncertain NonâÇôCooperative Feedback Information Games
  • 9.1. Stochastic Approach
  • 9.2. Deterministic Approach: Introduction
  • 9.3. The OneâÇôPlayer Case
  • 9.4. The OneâÇôPlayer Scalar Case
  • 9.5. The TwoâÇôPlayer Case
  • 9.6. A Fishery Management Game
  • 9.7. A Scalar Numerical Algorithm
  • 9.8. Stochastic Interpretation
  • 9.9. Notes and References
  • 9.10. Exercises
  • 9.11. Appendix
  • Bibliography
  • Index

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