Towards Computing Suboptimal Controls in a Zero-Sum Linear-Quadratic Differential Game: Artificial Parameter Approach

We consider a zero-sum finite horizon linear-quadratic differential game. Suboptimal state-feedback controls of the players in this game are derived. This derivation is based on the approximate solution (with a novel error’s estimate) of the corresponding Riccati matrix differential equation by the method of artificial parameter. The theoretical results are illustrated by the approximate solution of the problem of pursuit-evasion engagement between two flying vehicles.