Discrete-time, Bi-cumulant minimax and Nash games
Ronald W. Diersing, Michael K. Sain, Chang‐Hee Won · 2007
Continuous time, cumulant games have gathered interest, recently, but not much has been done for the discrete time case. In this paper, this problem will be addressed. Discrete time, two player, Nash and minimax cumulant games will be formulated and developed for a nonlinear system with non-quadratic costs. A recursion equation for the determining the equilibrium solutions is derived. For the linear quadratic case, equilibrium solutions are determined. Furthermore, through the use of cumulants, generalizations of H2/Hinfinand Hinfincontrol are shown.