Convergent iterative algorithm for saddle-point equilibrium of bilinear system

The paper discusses differential games of quadratic performance indices in continuous time bilinear systems in the finite time. Based on the optimal control method, the problem of saddle-point equilibrium strategies in differential games of continuous time bilinear systems is transformed into a sequ...

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Bibliographic Details
Main Authors: Pei-hong Sun, Huai-nian Zhu, Lei Tang
Format: Conference Proceeding
Language:English
Subjects:
bilinear system
Conference management
Differential equations
Educational institutions
Environmental economics
Financial management
Iterative algorithms
Nonlinear systems
Optimal control
Riccati equation
Riccati equations
saddle-point equilibrium
Technology management
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Summary:The paper discusses differential games of quadratic performance indices in continuous time bilinear systems in the finite time. Based on the optimal control method, the problem of saddle-point equilibrium strategies in differential games of continuous time bilinear systems is transformed into a sequence of linear differential equations and a Riccati matrix equation. And a practical, effective, uniformly convergent iterative algorithm is further present.
ISSN:2157-5592
DOI:10.1109/ICTM.2009.5413053