| Article ID: | iaor19932350 |
| Country: | United States |
| Volume: | 39 |
| Issue: | 1 |
| Start Page Number: | 93 |
| End Page Number: | 100 |
| Publication Date: | Jan 1993 |
| Journal: | Management Science |
| Authors: | White D.J. |
| Keywords: | decision theory, markov processes, programming: linear, programming: fractional |
This paper presents an algorithm for solving infinite-horizon discounted Markov games based upon the fact that the value function is a least element of a superharmonic set. The algorithm produces a pair of policies whose value function is within a specified error of the solution to the fixed point equation. Part of the algorithm involves solving a set of fractional programs which are replaced by equivalent linear programs.