Linear-quadratic differential games: from finite to infinite dimension

Michel C. Delfour¹

¹ Centre de recherches mathématiques and Département de mathématiques et de statistique Université de Montréal C.P. 6128, succ. Centre-ville Montréal (Qc), Canada H3C 3J7

Applicationes Mathematicae, Tome 35 (2008) no. 4, pp. 431-446.

Résumé

The object of this paper is the generalization of the pioneering work of P. Bernhard [J. Optim. Theory Appl. 27 (1979)] on two-person zero-sum games with a quadratic utility function and linear dynamics. It relaxes the semidefinite positivity assumption on the matrices in front of the state in the utility function and introduces affine feedback strategies that are not necessarily $L^2$-integrable in time. It provides a broad conceptual review of recent results in the finite-dimensional case for which a fairly complete theory is now available under most general assumptions. At the same time, we single out finite-dimensional concepts that do not carry over to evolution equations in infinite-dimensional spaces. We give equivalent notions and concepts. One of them is the invariant embedding for almost all initial times. Another one is the structural closed loop saddle point. We give complete classifications in terms of open loop values of the game and compare results.

Détail

DOI : 10.4064/am35-4-3

Keywords: object paper generalization pioneering work bernhard optim theory appl two person zero sum games quadratic utility function linear dynamics relaxes semidefinite positivity assumption matrices front state utility function introduces affine feedback strategies necessarily integrable time provides broad conceptual review recent results finite dimensional which fairly complete theory available under general assumptions time single out finite dimensional concepts carry evolution equations infinite dimensional spaces equivalent notions concepts invariant embedding almost initial times another structural closed loop saddle point complete classifications terms loop values game compare results