AbstractWe study static output feedback (SOF) Nash strategies for mean‐field stochastic systems. The study assumes a linear‐quadratic form of the cost functional, but the sign of the weighting matrix is indefinite. Moreover, the worst‐case disturbances are assumed to be of unconventional SOF form leading to a saddle‐point equilibrium. First, after defining the problem for the single‐player case, the necessary conditions for the existence of saddle‐point equilibrium are established. Then, we consider Nash games for mean‐field stochastic systems. Note that the cost functional associated with the mean‐field term is assumed to be of SOF form. We establish the necessary conditions for the Nash equilibrium using the cross‐coupled stochastic algebraic matrix equations (CCSAME). A new decomposition algorithm is proposed to avoid the challenges of solving high‐dimensional CCSAMEs. We also apply weakly coupled systems theory to propose a decentralized approximated reduced‐order Nash strategy. The degree of cost degradation of the decentralized strategy compared with the centralized strategy is derived more accurately than existing results. Finally, we illustrate the usefulness and effectiveness of the proposed strategy set through numerical examples.
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