
Accession Number : AD0684109
Title : LINEAR STOCHASTIC DIFFERENTIAL GAMES.
Descriptive Note : Technical rept.,
Corporate Author : HARVARD UNIV CAMBRIDGE MASS DIV OF ENGINEERING AND APPLIED PHYSICS
Personal Author(s) : Behn,Robert Dietrich
Report Date : JAN 1969
Pagination or Media Count : 305
Abstract : The solution for a class of stochastic pursuitevasion differential games between two dynamic systems is given; this class includes those games where one of the players has perfect knowledge of the state of the game while the other player is constrained to make noisy measurements on this state. The dynamic systems involved are linear and the performance index which is optimized is quadratic. The strategy for the player with perfect information is not always a realizable one. It is shown that this player can implement this strategy, however, if the number of his control variables is as great as the number of the state variables involved in the pursuit and evasion. Thus the solution obtained is applicable for the classical interception game in euclidean space. Several aspects of this game are studied in detail. The asymmetric roles of the pursuer and evader are discussed in general and relationships drawn between the deterministic and stochastic cases. It is pointed out that this game requires  in reality  the solution to a non zerosum game since the two different information sets employed by the two players cause each player to evaluate the criterion differently. The 'certaintyequivalence principle' which characterizes the standard stochastic control problem is shown to be applicable to this class of differential games. Examples of the classical interception game are given and numerical results presented. (Author)
Descriptors : (*GAME THEORY, STOCHASTIC PROCESSES), DIFFERENTIAL EQUATIONS, INFORMATION THEORY, CONTROL SYSTEMS, LINEAR SYSTEMS, FEEDBACK, THESES
Subject Categories : Operations Research
Distribution Statement : APPROVED FOR PUBLIC RELEASE