Computing stationary Nash equilibria of undiscounted single-controller stochastic games

Computing stationary Nash equilibria of undiscounted single-controller stochastic games

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Article ID: iaor2004349
Country: United States
Volume: 27
Issue: 2
Start Page Number: 384
End Page Number: 400
Publication Date: May 2002
Journal: Mathematics of Operations Research
Authors: ,
Abstract:

Given a two-person, nonzero-sum stochastic game where the second player controls the transitions, we formulate a linear complementarity problem LCP(q, M) whose solution gives a Nash equilibrium pair of stationary strategies under the limiting average payoff criterion. The matrix M constructed is of the copositive class so that Lemke's algorithm will process it. We will also do the same for a special class of N-person stochastic games called polymatrix stochastic games.

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