Linear Optimal Strategies for LQ Difference Game with Packet Losses*

This article investigates the optimal linear solutions for the finite horizon stochastic linear-quadratic (LQ) difference game with two players over a TCP-like lossy networks. One player’s control and its actuator channel has packet losses, while the other player has not packet loss. We first provide a optimal estimator of the state, and then give some conditions based on the packet loss rates under which the optimal controller exists.