Linear Quadratic Games with Costly Measurements

Abstract

In this work we consider a stochastic linear quadratic two-player game. The state measurements are observed through a switched noiseless communication link. Each player incurs a finite cost every time the link is established to get measurements. Along with the usual control action, each player is equipped with a switching action to control the communication link. The measurements help to improve the estimate and hence reduce the quadratic cost but at the same time the cost is increased due to switching. We study the subgame perfect equilibrium control and switching strategies for the players. We show that the problem can be solved in a two-step process by solving two dynamic programming problems. The first step corresponds to solving a dynamic programming for the control strategy and the second step solves another dynamic programming for the switching strategyComment: Accepted to IEEE Conference on Decision and Control (CDC) 201