Robust Adaptive Dynamic Programming of Two-Player Zero-Sum Games for Continuous-Time Linear Systems

In this brief, an online robust adaptive dynamic programming algorithm is proposed for two-player zero-sum games of continuous-time unknown linear systems with matched uncertainties, which are functions of system outputs and states of a completely unknown exosystem. The online algorithm is developed using the policy iteration (PI) scheme with only one iteration loop. A new analytical method is proposed for convergence proof of the PI scheme. The sufficient conditions are given to guarantee globally asymptotic stability and suboptimal property of the closed-loop system. Simulation studies are conducted to illustrate the effectiveness of the proposed method.