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Policy iteration for Hamilton-Jacobi-Isaacs equations with control constraints and comparison with Hamilton-Jacobi-Bellman equations
Convergence of the bilevel policy iteration algorithm for the value function, satisfying the Hamilton-Jacobi-Isaacs (HJI) equation, is analyzed in the presence of control constraints. Both first and second-order HJI equations corresponding to the deterministic and stochastic systems are considered.
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