Output Feedback Guaranteed Cost Equilibrium in Networked Multi-Agent Linear-Quadratic Difference Games

Abstract

In this paper, we study infinite-horizon deterministic linear-quadratic difference games with an output feedback information structure. We consider linear time-invariant dynamics and quadratic cost functionals defined over an infinite horizon. We first demonstrate that computing an output feedback Nash equilibrium (OF-NE) in difference games is challenging, even for low-dimensional games. To address this difficulty, we introduce an output feedback guaranteed cost equilibrium (OF-GCE) for difference games. In an OF-GCE, each player seeks a feedback strategy that guarantees its cost remains below a prescribed bound while satisfying an equilibrium condition. We derive necessary and sufficient conditions for the existence of an OF-GCE in terms of the solvability of a set of coupled bilinear matrix inequalities. We provide a linear matrix inequality-based iterative algorithm for synthesizing OF-GCE strategies. We further show that the state feedback GCE (SF-GCE) is a special case of the OF-GCE when players have complete state information. Numerical examples illustrate the effectiveness of the proposed approach.

11 pages, 4 figures