A Game Theoretic Algorithm to Solve Riccati and Hamilton—Jacobi—Bellman—Isaacs (HJBI) Equations in H ∞ Control

DOI10.1007/978-0-387-89496-6_15zbMath1204.49034OpenAlexW8419879MaRDI QIDQ3059294

Weitian Chen, Yantao Feng, Brian D. O. Anderson

Publication date: 8 December 2010

Published in: Springer Optimization and Its Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-0-387-89496-6_15

zbMATH Keywords

iterative methodsRiccatigame theoretic algorithmHamilton-Jacobi-Bellman-Isaacs (HJBI) equationslocal quadratic rate of convergence

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) (H^infty)-control (93B36) Other game-theoretic models (91A40) Linear-quadratic optimal control problems (49N10)

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