Feng, Yantao; Rotkowitz, Michael; Anderson, Brian
In this paper, an iterative algorithm to solve a special class of Hamilton-Jacobi-Bellman-Isaacs (HJBI) equations is proposed. By constructing two series of nonnegative functions, we replace the problem of solving an HJBI equation by the problem of solving a sequence of Hamilton-Jacobi-Bellman (HJB) equations whose solutions can be approximated recursively by existing methods. The local convergence of the algorithm is guaranteed. A numerical example is provided to demonstrate the accuracy of...[Show more]
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