We prove existence of Markov Perfect Equilibria (MPE) in nonstationary undiscounted infinite horizon dynamic games, by exploiting a structural property (Uniformly Bounded Reachability) of the state dynamics. This allows us to identify a suitable finite horizon equilibrium relaxation, the ending state Constrained MPE, that captures the relevant features of an infinite horizon MPE for a long enou...

It is well known that unconstrained infinite-horizon optimal control may be used to construct a stabilizing controller for a nonlinear system. In this note, we show that similar stabilization results may be achieved using unconstrained finite horizon optimal control. The key idea is to approximate the tail of the infinite horizon cost-to-go using, as terminal cost, an appropriate control Lyapun...

An infinite-horizon, stochastic model of entry and exit with sunk costs and imperfect competition is constructed. A subgame perfect Nash equilibrium for the general dynamic stochastic game is shown to exist as a limit of finite-horizon equilibria. This equilibrium has a relatively simple structure characterized by two numbers per finite history. Under very general conditions, it tends to exhibi...

This paper explores the relationships between noncooperative bargaining games and the consistent value for non-transferable utility (NTU) cooperative games. A dynamic approach to the consistent value for NTU games is introduced: the consistent vector field. The main contribution of the paper is to show that the consistent field is intimately related to the concept of subgame perfection for fini...

The finite horizon control of time-invariant linear systems with a finite number of point and distributed time delays is considered. The controller is obtained by solving coupled Riccati-type partial differential equations. The solutions to these equations and the resulting controllers are approximated by series expansions in powers of the largest delay. Unlike the infinite horizon case, these ...

LQG control problems for guaranteeing finite-horizon performance subject to stability are proposed for switched linear systems and Markovian jump linear systems in the discrete-time domain. Exact, convex synthesis conditions for dynamic output feedback controllers are expressed in terms of nested unions of linear matrix inequalities. Thus feedback solutions are obtained by solving semidefinite ...

This paper considers the problem of stabilization of stochastic Linear Parameter Varying (LPV) discrete time systems in the presence of convex state and input constraints. By using a randomization approach, a convex finite horizon optimal control problem is derived, even when the dependence of the system’s matrices on the time-varying parameters is nonlinear. This convex problem can be solved e...

This paper deals with the H∞ control problem for a class of discrete time-varying nonlinear systems with both randomly occurring nonlinearities and fading measurements over a finite-horizon. The system measurements are transmitted through fading channels described by a modified stochastic Rice fading model. The purpose of the addressed problem is to design a set of time-varying controllers such...

In this paper, a finite-horizon neuro-optimal tracking control strategy for a class of discrete-time nonlinear systems is proposed. Through system transformation, the optimal tracking problem is converted into designing a finite-horizon optimal regulator for the tracking error dynamics. Then, with convergence analysis in terms of cost function and control law, the iterative adaptive dynamic pro...