Discrete-time two-player zero-sum games for nonlinear systems using iterative adaptive dynamic programming

Abstract

This paper is concerned with a discrete-time two-player zero-sum game of nonlinear systems, which is solved by a new iterative adaptive dynamic programming (ADP) method. In the present iterative ADP algorithm, two iteration procedures, which are upper and lower iterations, are implemented to obtain the upper and lower performance index functions, respectively. Initialized by an arbitrary positive semi-definite function, it is shown that the iterative value functions converge to the optimal performance index function if the optimal performance index function of the two-player zero-sum game exists. Finally, simulation results are given to illustrate the performance of the developed method.