Value Iteration Algorithm for Nonlinear Continuous-time Nonzero-Sum Games

An adaptive dynamic programming value iteration algorithm is designed to solve nonlinear continuous-time nonzero-sum games in this paper. Since existing studies were developed on policy iteration, the initial condition of control policy requires to be admissible and thus the application has been limited. The proposed algorithm can be started with a more relaxed condition compared with policy iteration based methods, which relaxes the initial condition of the existing works. A simulation example is displayed to show the effectiveness.