Finite-horizon 'plan T steps, use one step' strategies converge in total cost to an infinite-horizon feedback Nash equilibrium, conditional on the coupled Riccati iteration converging, with an explicit cubic error bound.
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On finite-horizon approximation of an infinite-horizon feedback Nash equilibrium in discrete-time LQ games
Finite-horizon 'plan T steps, use one step' strategies converge in total cost to an infinite-horizon feedback Nash equilibrium, conditional on the coupled Riccati iteration converging, with an explicit cubic error bound.