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An iterative procedure to solve HJBI equations in nonlinear H_infinity control.

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]

CollectionsANU Research Publications
Date published: 2008
Type: Conference paper
Source: Proceedings of International Federation of Automatic Control World Congress (SYSID 2008)
DOI: 10.3182/20080706-5-KR-1001.2050


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