A Game Theoretic Approach to Moving Horizon Control

A control law is constructed for a linear time varying system by solving a two player zero sum differential game on a moving horizon, the game being that which is used to construct an H-infinity controller on a finite horizon. Conditions are given under which this controller results in a stable system and satisfies an infinite horizon H-infinity norm bound. A risk sensitive formulation is used to provide a state estimator in the observation feedback case.