A Note on Cooperative Linear Quadratic Control

J.C. Engwerda

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Abstract

In this note we consider the cooperative linear quadratic control problem. That is, the problem where a number of players, all facing a (different) linear quadratic control problem, decide to cooperate in order to optimize their performance. It is well-known, in case the performance criteria are positive definite, how one can determine the set of Pareto efficient equilibria for these games. In this note we generalize this result for indefinite criteria.
Original languageEnglish
Place of PublicationTilburg
PublisherMacroeconomics
Number of pages10
Volume2007-15
Publication statusPublished - 2007

Publication series

NameCentER Discussion Paper
Volume2007-15

Keywords

  • LQ theory
  • Riccati equations
  • Cooperative differential games
  • Pareto frontier

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