Recursive Regret Matching: A General Method for Solving Time-invariant Nonlinear Zero-sum Differential Games

Abstract: In this paper, a new method is proposed to compute the rolling Nash equilibrium of the time-invariant nonlinear two-person zero-sum differential games. The idea is to discretize the time to transform a differential game into a sequential game with several steps, and by introducing state-value function, transform the sequential game into a recursion consisting of several normal-form games, finally, each normal-form game is solved with action abstraction and regret matching. To improve the real-time property of the proposed method, the state-value function can be kept in memory. This method can deal with the situations that the saddle point exists or does not exist, and the analysises of the existence of the saddle point can be avoided. If the saddle point does not exist, the mixed optimal control pair can be obtained. At the end of this paper, some examples are taken to illustrate the validity of the proposed method.