Linear Quadratic Zero-Sum Two-Person Differential Games

International audienceAs in optimal control theory, linear quadratic (LQ) differential games (DG) can be solved, even in high dimension, via a Riccati equation. However, contrary to the control case, existence of the solution of the Riccati equation is not necessary for the existence of a closed-loop saddle point. One may " survive " a particular, non generic, type of conjugate point. An important application of LQDG's is the so-called H∞-optimal control, appearing in the theory of robust control