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Min-max certainty equivalence principle and differential games

✍ Scribed by Pierre Bernhard; Alain Rapaport

Publisher: John Wiley and Sons
Year: 1996
Tongue: English
Weight: 715 KB
Volume: 6
Category: Article
ISSN: 1049-8923
DOI: 10.1002/(sici)1099-1239(199610)6:8<825::aid-rnc193>3.0.co;2-s

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✦ Synopsis

This paper presents a version of the certainty equivalence principle, usable for nonlinear, variable endtime, partial observation zero-sum differential games, which states that under the unicity of the solution to the auxiliary problem, optimal controllers can be derived from the solution of the related perfect observation game. An example is provided where in one region, the new extended result holds, giving an optimal control, and in another region, the unicity condition if is not met, leading indeed to a non-certainty equivalent optimal controller.

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