Robust control and differential games on a finite time horizon (Q1906513): Difference between revisions

The methods of \(H^\infty\) control theory are used in the paper to study the finite time horizon differential game. The dynamics of the game are of the form \[ {{dX} \over {dt}}= f(t, X_t, u_t)+ \sigma (X_t) w_t, \qquad X_s= x, \] and the payoff is given by \[ P_{s,x} (u, w)= \int^T_s [L(t, X_t, u_t)- \gamma^2|w_t |^2] dt+ \Psi (X_T). \] Here \(X_t\in \mathbb{R}^n\) is the state, \(u_t\in {\mathcal U}\) is the control of the minimizing player while the disturbance \(w_t\in L^2 ([ s,T ], R^l)\) becomes the control for the maximizing player. Two cases are discussed: the bounded and unbounded minimizing control cases. It is shown that the value of the game is a viscosity solution of the corresponding Isaacs PDE in the compact control case. Under some additional assumptions a similar result is obtained for the unbounded control case. Dynamic programming results and those regarding the application of a viscosity solution uniqueness theorem are also presented for both cases.