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Covariance Steering for Discrete-Time Linear-Quadratic Stochastic Dynamic Games
[article]
2020
arXiv
pre-print
This paper addresses the problem of steering a discrete-time linear dynamical system from an initial Gaussian distribution to a final distribution in a game-theoretic setting. One of the two players strives to minimize a quadratic payoff, while at the same time tries to meet a given mean and covariance constraint at the final time-step. The other player maximizes the same payoff, but it is assumed to be indifferent to the terminal constraint. At first, the unconstrained version of the game is
arXiv:2003.03045v1
fatcat:lyrysnqz4badxj3apkkyds2q4m