The iterative solution to LQ zero-sum stochastic differential games
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Publication:1743384
DOI10.1007/s12190-017-1086-3zbMath1410.91047OpenAlexW2587175476MaRDI QIDQ1743384
Ivelin G. Ivanov, Ivan Ganchev Ivanov
Publication date: 13 April 2018
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s12190-017-1086-3
2-person games (91A05) Differential games (aspects of game theory) (91A23) Stochastic games, stochastic differential games (91A15)
Cites Work
- An iterative algorithm to solve state-perturbed stochastic algebraic Riccati equations in LQ zero-sum games
- On some iterations for optimal control of jump linear equations
- Simultaneous policy update algorithms for learning the solution of linear continuous-time \(H_{\infty}\) state feedback control
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- Adaptive dynamic programming for online solution of a zero-sum differential game
- Linear quadratic stochastic two-person zero-sum differential games in an infinite horizon
- Computing the Positive Stabilizing Solution to Algebraic Riccati Equations With an Indefinite Quadratic Term via a Recursive Method
- On computing the stabilizing solution of a class of discrete‐time periodic Riccati equations
- Mathematical Methods in Robust Control of Linear Stochastic Systems
- \(H^ \infty\)-optimal control and related minimax design problems. A dynamic game approach.
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