An iterative procedure to solve HJBI equations in nonlinear H infinity control

Yantao Feng, Michael Rotkowitz, Brian D.O. Anderson

    Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

    4 Citations (Scopus)

    Abstract

    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 the proposed algorithm.

    Original languageEnglish
    Title of host publicationProceedings of the 17th World Congress, International Federation of Automatic Control, IFAC
    Edition1 PART 1
    DOIs
    Publication statusPublished - 2008
    Event17th World Congress, International Federation of Automatic Control, IFAC - Seoul, Korea, Republic of
    Duration: 6 Jul 200811 Jul 2008

    Publication series

    NameIFAC Proceedings Volumes (IFAC-PapersOnline)
    Number1 PART 1
    Volume17
    ISSN (Print)1474-6670

    Conference

    Conference17th World Congress, International Federation of Automatic Control, IFAC
    Country/TerritoryKorea, Republic of
    CitySeoul
    Period6/07/0811/07/08

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