Critic-Free Policy Iteration for Continuous-Time Zero-Sum Games: A Policy-Space Riccati Approach
This paper develops a critic-free policy iteration (PI) method for continuous-time linear zero-sum games. The central idea is to characterize the saddle-point policies directly in the joint policy space, rather than treating the quadratic value matrix as an iterative variable. A policy game Riccati equation (PGRE) is introduced whose...