Abstract
In this paper, an iterative algorithm to solve Hamilton–Jacobi–Bellman–Isaacs (HJBI) equations for a broad class of nonlinear control systems is proposed. By constructing two series of nonnegative functions, we replace the problem of solving an HJBI equation by the problem of solving a sequence of Hamilton–Jacobi–Bellman (HJB) equations whose solutions can be approximated recursively by existing methods. The local convergence of the algorithm and local quadratic rate of convergence of the algorithm are guaranteed and a proof is given. Numerical examples are also provided to demonstrate the effectiveness of the proposed algorithm. A game theoretical interpretation of the algorithm is given.
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