TY - JOUR
T1 - Numerical approaches to linear—quadratic differential games with imperfect observations
AU - Bagchi, Arunabha
AU - Olsder, Geert Jan
PY - 1983
Y1 - 1983
N2 - 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.
AB - 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.
KW - IR-69181
U2 - 10.1016/0016-0032(83)90061-3
DO - 10.1016/0016-0032(83)90061-3
M3 - Article
VL - 315
SP - 423
EP - 433
JO - Journal of the Franklin Institute
JF - Journal of the Franklin Institute
SN - 0016-0032
IS - 5-6
ER -