Open-loop Nash Equilibria in a Class of Linear-Quadratic Difference Games with Constraints

We study a class of N-player finite-horizon linear-quadratic difference games with linear constraints. We introduce constrained openloop information structure and derive necessary conditions for the existence of constrained open-loop Nash equilibria. We show that these conditions lead to a weakly coupled system of parametric two-point boundary value problem and a set of linear complementarity problems. By restricting the costate variables to be affine in the state variable, we show that these necessary conditions can be reformulated as a single large-scale linear complementarity problem. Then we provide sufficient conditions under which a solution of the linear complementarity problem constitutes a constrained open-loop Nash equilibrium.