Numerical approaches to linear—quadratic differential games with imperfect observations
✍ Scribed by Arunabha Bagchi; Geert Jan Olsder
- Publisher
- Elsevier Science
- Year
- 1983
- Tongue
- English
- Weight
- 593 KB
- Volume
- 315
- Category
- Article
- ISSN
- 0016-0032
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✦ Synopsis
A two-person pursuit-evasion stochastic differential game with state and measurement,y corrupted by noises is considered. In an earlier paper the problem was reformulated and solved in an infinite-dimensional-state space, and the existence of saddle-point solutions under certain conditions was proved. 7he present paper provides a numerical solution for the resulting continuous-time integro-partial d@erential equations. This solution scheme is based on the utilization of the second guessing technique, and, in spite of the fact that a complicated set of integro-partial differential equations have to be solved, the numerical results seem plausible and promising.