A DIFFERENTIAL GAME WITH INTEGRAL PERFORMANCE CRITERION / LUKOYANOV NY // DIFFERENTIAL EQUATIONS. - 1994. - V. 30, l. 11. - P. 1759-1766.

ISSN/EISSN:

0012-2661 / нет данных

Type:

Article

Abstract:

We consider a feedback control problem for a linear dynamical system under the minimax condition imposed on the performance criterion specified as the sum of terminal and integral quadratic penalty terms depending on control and noise. The problem can be formalized as a differential game {[}1-3] in the framework of the conception developed in Ekaterinburg {[}4-15]. The differential game is known {[}7] to have a value and a saddle point in the class of pure universal strategies, and the optimal strategies can be constructed by the method of extremal shift to the concomitant points. The value of this differential game was directly calculated in {[}?] by the method of stochastic program synthesis, with essentially using the specific features of the corresponding martingale. The aim of the present paper is to describe an efficient procedure for calculating the value of the game. The procedure is a generalization of the method proposed in {[}10] and used in {[}12-15]. It amounts to constructing upper convex hulls for some auxiliary functions. An illustrative example is provided. The problem has been posed on the scientific seminar at the chair of theoretical mechanics in Ural State University supervized by N. N. Krasovskii and A. N. Krasovskii.

Author keywords:

нет данных

DOI:

нет данных

Web of Science ID:

ISI:A1994RW77900007

Соавторы в МНС:

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Другие поля

Поле	Значение
Month	NOV
Publisher	PLENUM PUBL CORP
Address	CONSULTANTS BUREAU 233 SPRING ST, NEW YORK, NY 10013
Language	English
Research-Areas	Mathematics
Web-of-Science-Categories	Mathematics
ResearcherID-Numbers	Lukoyanov , Nikolai/Q-6872-2016
Number-of-Cited-References	15
Usage-Count-Since-2013	2
Journal-ISO	Differ. Equ.
Doc-Delivery-Number	RW779