Incentive Stackelberg Games for Stochastic Linear Systems With $H_\infty$ Constraint
研究了一类受外部干扰的随机线性系统中，领导者如何设计激励策略集，使追随者达到纳什均衡并抑制干扰，通过求解耦合Riccati方程得到策略。
In this paper, incentive Stackelberg games with one leader and multiple followers are investigated for a class of stochastic linear systems with external disturbance. Unlike the existing ordinary Stackelberg games, the leader is required to design an incentive Stackelberg strategy set that can lead to the leader's team-optimal solution and the follower's Nash equilibrium, and attenuate the external disturbance in the system simultaneously. It is shown that the incentive Stackelberg strategy set is obtained by solving a set of the cross-coupled stochastic Riccati differential equations in a finite-horizon case and a set of the cross-coupled stochastic algebraic Riccati equations in an infinite-horizon case. Numerical examples are solved to demonstrate the effectiveness of the proposed incentive Stackelberg strategy set.