Abstract

This paper introduces a two-player zero-sum differential game with imperfect state information, focusing on the situation with linear system, quadratic cost functional and state measurement contains white Gaussian noise. A solution is put forward in view of a special situation where one controller has available noise-corrupted measurement and the other has only one priori information. In addition, Kalman filter is used for state estimation. In subsequent section, a simulation based on a linear differential game problem is proposed, which is a well corroborate of the theoretical part. Finally concludes the research work on this paper, and points out the need to further expand in the future.

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