| Article ID: | iaor20003669 |
| Country: | Germany |
| Volume: | 86 |
| Issue: | 3 |
| Start Page Number: | 637 |
| End Page Number: | 648 |
| Publication Date: | Jan 1999 |
| Journal: | Mathematical Programming |
| Authors: | Mohan S.R., Parthasarathy T., Neogy S.K., Sinha S. |
In this paper we consider a two-person zero-sum discounted stochastic game with ARAT structure and formulate the problem of computing a pair of pure optimal stationary strategies and the corresponding value vector of such a game as a vertical linear complementarity problem. We show that Cottle–Dantzig's algorithm (a generalization of Lemke's algorithm) can solve this problem under a mild assumption.