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Online Solution of Two-Player Zero-Sum Games for Continuous-Time Nonlinear Systems With Completely Unknown Dynamics
IEEE Transactions on Neural Networks and Learning Systems
|November 25, 2015
Summary
This study introduces an online adaptive algorithm for learning optimal policies in continuous-time nonlinear games with unknown dynamics. It effectively finds Nash equilibrium solutions without prior system knowledge.
Area of Science:
- Control Theory
- Game Theory
- Adaptive Systems
Background:
- Two-player zero-sum games with continuous-time nonlinear systems present challenges due to unknown dynamics.
- Finding Nash equilibrium solutions (optimal policy pairs) is crucial for system control and decision-making.
Purpose of the Study:
- To develop an online adaptive algorithm for learning Nash equilibrium solutions in continuous-time nonlinear zero-sum games with completely unknown dynamics.
- To address the limitations of existing methods that require prior knowledge of system dynamics.
Main Methods:
- Review of the Simultaneous Policy Updating Algorithm (SPUA) for known systems with a novel convergence proof.
- Development of an online algorithm based on SPUA that learns the Hamilton-Jacobi-Isaacs (HJI) equation solution or generalized algebraic Riccati equation solution in real-time.
- Utilizing the recursive least square method for simultaneous identification of unknown system parameters.
Main Results:
- The proposed online algorithm simultaneously learns the optimal policy pair and the solution to the HJI equation (or generalized algebraic Riccati equation for linear systems).
- Convergence of the online algorithm to the optimal solutions is analytically proven.
- A practical online algorithm is developed and demonstrated through simulations.
Conclusions:
- The developed online adaptive algorithm effectively learns Nash equilibrium solutions for continuous-time nonlinear zero-sum games with unknown dynamics.
- The method provides a robust approach for real-time policy optimization without requiring a priori system information.
- Simulation results validate the practical applicability and effectiveness of the proposed algorithm.
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