Numerical approaches to linear—quadratic differential games with imperfect observations

Bagchi, Arunabha and Olsder, Geert Jan (1983) Numerical approaches to linear—quadratic differential games with imperfect observations. Journal of the Franklin Institute, 315 (5-6). pp. 423-433. ISSN 0016-0032

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Abstract:	A two-person pursuit—evasion stochastic differential game with state and measurements 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. The present paper provides a numerical solution for the resulting continuous-time integro-partial differential 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.
Item Type:	Article
Copyright:	© 1983 Elsevier Science
Faculty:	Electrical Engineering, Mathematics and Computer Science (EEMCS)
Research Group:	Stochastic Systems and Signals (SST)
Link to this item:	http://purl.utwente.nl/publications/69181
Official URL:	http://dx.doi.org/10.1016/0016-0032(83)90061-3
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