Institute of Mathematics and Informatics

Семинар на секция "Изследване на операциите, вероятности и статистика"
2023-10-17 14:00 - 15:30 (Europe/Sofia) | Институт по математика и информатика – БАН, Block 8, 1113 БАН IV км., София, Bulgaria
На 17 октомври 2023 (вторник) от 14:00 в зала 503 на ИМИ ще се проведе поредното заседание на семинара на секция „Изследване на операциите, вероятности и статистика”.
Доклад на тема:
On an Infinite-Time Horizon Linear-Quadratic Game with Constrained Control
ще изнесе Боян Стефанов.

Абстракт. A linear-quadratic game on an infinite horizon for continuous and discrete-time systems is studied when the controls of the minimizing player are constrained. Our approach is based on the approximation of this game by a suitable finite-time horizon game. First, the existence of a saddle point equilibrium is proved for the unconstrained case. Next, it is established that there exists a delta-neighborhood of the origin in the state space where the control constraints are not active. Using this neighborhood, the original problem is reduced to a suitable finite-time horizon game. The main result is a sufficient condition for the existence of saddle point equilibrium. As an illustration, the approach is applied to a basic monetary policy model. The discrete case is also briefly discussed.
