A Game Representation for a Finite Horizon State Constrained Continuous Time Linear Regulator Problem

Abstract

A supremum-of-quadratics representation for a class of extended real valued barrier functions is developed and applied in the context of solving a continuous time linear regulator problem subject to a single state constraint of bounded norm. It is shown that this very simple state constrained regulator problem can be equivalently formulated as an unconstrained two-player game. By demonstrating equivalence of the upper and lower values, and exploiting existence and uniqueness of the optimal actions for both players, state feedback characterizations for the corresponding optimal policies for both players are developed. These characterizations are illustrated by a simple example.