Multi-time scale zero-sum differential games with perfect state measurements

Zigang Pan, Tamer Başar

Research output: Contribution to journalArticlepeer-review

Abstract

We obtain necessary and sufficient conditions for the existence of "approximate" saddle-point solutions in linear-quadratic zero-sum differential games when the state dynamics are defined on multiple (three) time scales. These different time scales are characterized in terms of two small positive parameters ∈1, and ∈2, and the terminology "approximate saddle-point solution" is used to refer to saddle-point policies that do not depend on ∈1 and ∈2, while providing cost levels within O(∈1) of the full-order game. It is shown in the paper that, under perfect state measurements, the original game can be decomposed into three subgames-slow, fast and fastest, the composite saddle-point solution of which make up the approximate saddle-point solution of the original game. Specifically, for the minimizing player, it is necessary to use a composite policy that uses the solutions of all three subgames, whereas for the maximizing player, it is sufficient to use a slow policy. In the finite-horizon case this slow policy could be a feedback policy, whereas in the infinite-horizon case it has to be chosen as an open-loop policy that is generated from the solution and dynamics of the slow subgame. These results have direct applications in the H-optimal control of three-time scale singularly perturbed linear systems under perfect state measurements.

Original languageEnglish (US)
Pages (from-to)7-29
Number of pages23
JournalDynamics and Control
Volume5
Issue number1
DOIs
StatePublished - Jan 1 1995

ASJC Scopus subject areas

  • Control and Systems Engineering

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