Moving horizon control in dynamic games

We consider a continuous time system influenced by different agents who adopt moving horizon control. The well known Nash equilibrium concept is used to define two solution concepts fitting in the moving horizon structure. One of them is analyzed in more detail in the class of linear quadratic games. The (dis)advantages of moving horizon control are illustrated by means of a government debt stabilization model.

[1]  F. Wirl.  Dynamic policy games in economics : F. van der Ploeg and A.J. de Zeeuw, eds., (North-Holland, Amsterdam, 1989) pp. xviii+330, ISBN 0-444-87387-2, $92.00, Dfl 175.00 , 1990 .

[2]  Suresh P. Sethi,et al.  A theory of rolling horizon decision making , 1991, Ann. Oper. Res..

[3]  K. Mäler,et al.  The Acid Rain Differential Game , 1998 .

[4]  Stephen J. Wright,et al.  Nonlinear Predictive Control and Moving Horizon Estimation — An Introductory Overview , 1999 .

[5]  T. L. Feenstra,et al.  Environmental policy instruments and international rivalry: A dynamic analysis , 1998 .

[6]  G. Tabellini,et al.  Money, debt and deficits in a dynamic game , 1986 .

[7]  Reinhard Neck,et al.  Commitment and coordination in a dynamic game model of international economic policy-making , 1995 .

[8]  Frederick van der Ploeg,et al.  A differential game of international pollution control , 1991 .

[9]  J. Engwerda.  On the Open-Loop Nash Equilibrium in LQ-Games , 1998 .

[10]  M. Raith,et al.  Monetary and fiscal policy interaction and government debt stabilization , 1995 .

[11]  G. Nicolao,et al.  Stabilizing receding-horizon control of nonlinear time-varying systems , 1998, IEEE Trans. Autom. Control..

[12]  Jacob Engwerda,et al.  Feedback Nash equilibria in the scalar infinite horizon LQ-game , 2000, Autom..

[13]  T. Başar,et al.  Dynamic Noncooperative Game Theory , 1982 .

[14]  Tamer Basar,et al.  Time Consistency and Robustness of Equilibria in Non-Cooperative Dynamic Games , 1989 .

[15]  Paul M. Frank,et al.  Advances in control : highlights of ECC '99 , 1999 .