a Generalized Riccati Differential Equation (GRDE
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Near-Optimal Mixed Strategy for Zero-Sum Linear-Quadratic Differential Games
Announce Type: cross Abstract: Deriving analytic solutions for optimal mixed strategies in zero-sum linear-quadratic differential games (ZSLQDGs) remains an open problem. In this paper, we analytically synthesize near-optimal mixed strategies for ZSLQDGs and establish rigorous performance certifications. Specifically, we construct a surrogate pure-strategy stochastic differential game (SDG) by matching the first two moments of the mixed strategies.