Iteration Algorithm for Solving the Optimal Strategies of a Class of Nonaffine Nonlinear Quadratic Zero-sum Games

摘要：

A iteration algorithm is derived to solve the optimal strategies of continuous-time nonaf.ne nonlinear quadratic zero-sum game in this paper. The nonaffine nonlinear quadratic zero-sum game is transformed into an equivalent sequence of linear quadratic zero-sum games. The associated Hamiltion-Jacobi-Isaacs (HJI) equation is transformed into a sequence of algebraic Riccati equations. The optimal strategies of the zero-sum game are obtained by iteration. The convergence of the iteration algorithm is proved under very mild conditions of local Lipschitz continuity. Finally, this approach is applied to a numerical example to demonstrate its convergence and effectiveness.

关键词： Zero-sum game Nonaffine nonlinear Iteration algorithm HJI equation

作者: Xin Zhang Huaguang Zhang Yanhong Luo Meng Dong

作者单位: Information Science and Engineering, Northeastern University, Shenyang 110819, China

会议类型: 国际会议

会议名称: The 22nd China Control and Decision Conference(2010年中国控制与决策会议)

会议地点: 徐州

会议语种:英文

页码: 1359-1364

在线出版日期: 2010-05-26（万方平台首次上网日期，不代表论文的发表时间）