Feedback and Open-Loop Nash Equilibria for LQ Infinite-Horizon Discrete-Time Dynamic Games

SIAM Journal on Control and Optimization, Volume 62, Issue 3, Page 1417-1436, June 2024.
Abstract. We consider dynamic games defined over an infinite horizon, characterized by linear, discrete-time dynamics and quadratic cost functionals. Considering such linear-quadratic dynamic games, we focus on their solutions in terms of Nash equilibrium strategies. Both feedback (F-NE) and open-loop (OL-NE) Nash equilibrium solutions are considered. The contributions of the paper are threefold. First, our detailed study reveals some interesting structural insights in relation to F-NE solutions. Second, as a stepping stone toward our consideration of OL-NE strategies, we consider a specific infinite-horizon discrete-time (single-player) optimal control problem, wherein the dynamics are influenced by a known exogenous input and draw connections between its solution obtained via dynamic programming and Pontryagin’s minimum principle. Finally, we exploit the latter result to provide a characterization of OL-NE strategies of the class of infinite-horizon dynamic games. The results and key observations made throughout the paper are illustrated via a numerical example.