A New Iteration Approach to Solve a Class of Finite-horizon Continuous-time Nonaffine Nonlinear Zero-sum Game
نویسندگان
چکیده
In this paper, a new iteration approach is derived to solve the optimal strategies for quadratic zero-sum game of finite-horizon continuous-time nonaffine nonlinear system. Through iteration algorithm between two sequences which are a sequence of state trajectories of linear quadratic zero-sum games and a sequence of corresponding Riccati differential equations, the optimal strategies for the nonaffine nonlinear zero-sum game are given. Under very mild conditions of local Lipschitz continuity, the convergence of approximating linear time-varying sequences is proved. A numerical example is given to demonstrate the convergence and effectiveness of the proposed approach.
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