Convergent iterative algorithm for saddle-point equilibrium of bilinear system

The paper discusses differential games of quadratic performance indices in continuous time bilinear systems in the finite time. Based on the optimal control method, the problem of saddle-point equilibrium strategies in differential games of continuous time bilinear systems is transformed into a sequence of linear differential equations and a Riccati matrix equation. And a practical, effective, uniformly convergent iterative algorithm is further present.