On the SQH Method for Solving Differential Nash Games
Francesca Calà Campana, Alfio Borzı̀ · Journal of Dynamical and Control Systems · 2021
Abstract A sequentialquadratic Hamiltonian schemefor solving open-loop differential Nash games is proposed and investigated. This method is formulated in the framework of the Pontryagin maximum principle and represents an efficient and robust extension of the successive approximations strategy for solving optimal control problems. Theoretical results are presented that prove the well-posedness of the proposed scheme, and results of numerical experiments are reported that successfully validate its computational performance.