Robust Receding Horizon Games with Additive Uncertainty

Abstract

We study a receding horizon game in which multiple agents drive linear systems subject to additive disturbances, private state and input constraints, and shared coupling constraints. We propose a robust game-theoretic control framework that combines tube-based constraint tightening with a finite-horizon generalized Nash equilibrium problem (GNEP), equipped with a discrete algebraic Riccati equation (DARE)-based terminal cost and a decoupled positively invariant terminal set. The framework guarantees recursive feasibility for every bounded disturbance realization. Exploiting the potential-game structure induced by tracking costs, we further establish asymptotic convergence of each agent's nominal state to a steady-state variational generalized Nash equilibrium (vGNE), and show that each agent's actual state converges to a neighborhood of the vGNE determined by the minimal robust positively invariant set.