Lyapunpov Iterations for Linear-Quadratic Differential Games with Assigned Local Behavior

An algorithm. that converges locally in a neighbor-hood of each feedback Nash equilibria (F-NE) of a two-player, linear-quadratic (LQ) differential game is proposed. This ob-jective is pursued by modifying classic Lyapunov iterations, which naturally arise by a straightforward interpretation of the coupled Algebraic Riccati Equations and which converge only to a subset of all the F - NE, so to enforce local asymptotic stability of all the F - NE of the underlying differential game.