摘要翻译：
考虑了一个非零和线性二次高斯(LQG)非对称信息动态对策。每个玩家私下观察一个嘈杂版本的（隐藏的）世界状态$V$，导致依赖的私人观察。我们研究了该博弈的完美贝叶斯均衡(PBE)，其均衡策略在博弈者的私人估计为$v$时是线性的。主要的困难来自这样一个事实，即玩家需要在其他玩家对$v$的估计上构造估计，这反过来意味着需要在估计上构造一个无限的估计层次，从而使问题无法解决。我们表明情况并非如此：每个玩家对其他玩家在$v$上的估计可以总结为她自己在$v$上的估计和一些适当定义的公开信息。基于这一发现，我们通过一种类似于标准LQG控制问题的动态规划的后向/前向算法来刻画PBE。然而，与标准的LQG问题不同，Kalman滤波器协方差矩阵以及其他一些所需的量是与观测相关的，因此不能通过前向递归离线求值。
---
英文标题：
《Linear Equilibria for Dynamic LQG Games with Asymmetric Information and
  Dependent Types》
---
作者：
Nasimeh Heydaribeni and Achilleas Anastasopoulos
---
最新提交年份：
2019
---
分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
--
一级分类：Computer Science        计算机科学
二级分类：Systems and Control        系统与控制
分类描述：cs.SY is an alias for eess.SY. This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
cs.sy是eess.sy的别名。本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
--
一级分类：Electrical Engineering and Systems Science        电气工程与系统科学
二级分类：Systems and Control        系统与控制
分类描述：This section includes theoretical and experimental research covering all facets of automatic control systems. The section is focused on methods of control system analysis and design using tools of modeling, simulation and optimization. Specific areas of research include nonlinear, distributed, adaptive, stochastic and robust control in addition to hybrid and discrete event systems. Application areas include automotive and aerospace control systems, network control, biological systems, multiagent and cooperative control, robotics, reinforcement learning, sensor networks, control of cyber-physical and energy-related systems, and control of computing systems.
本部分包括理论和实验研究，涵盖了自动控制系统的各个方面。本节主要介绍利用建模、仿真和优化工具进行控制系统分析和设计的方法。具体研究领域包括非线性、分布式、自适应、随机和鲁棒控制，以及混合和离散事件系统。应用领域包括汽车和航空航天控制系统、网络控制、生物系统、多智能体和协作控制、机器人学、强化学习、传感器网络、信息物理和能源相关系统的控制以及计算系统的控制。
--
一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
--

---
英文摘要：
  We consider a non-zero-sum linear quadratic Gaussian (LQG) dynamic game with asymmetric information. Each player observes privately a noisy version of a (hidden) state of the world $V$, resulting in dependent private observations. We study perfect Bayesian equilibria (PBE) for this game with equilibrium strategies that are linear in players' private estimates of $V$. The main difficulty arises from the fact that players need to construct estimates on other players' estimate on $V$, which in turn would imply that an infinite hierarchy of estimates on estimates needs to be constructed, rendering the problem unsolvable. We show that this is not the case: each player's estimate on other players' estimates on $V$ can be summarized into her own estimate on $V$ and some appropriately defined public information. Based on this finding we characterize the PBE through a backward/forward algorithm akin to dynamic programming for the standard LQG control problem. Unlike the standard LQG problem, however, Kalman filter covariance matrices, as well as some other required quantities, are observation-dependent and thus cannot be evaluated off-line through a forward recursion.
---
PDF链接：
https://arxiv.org/pdf/1909.04834