Article ID: | iaor1993301 |
Country: | Netherlands |
Volume: | 50 |
Issue: | 2 |
Start Page Number: | 227 |
End Page Number: | 237 |
Publication Date: | Apr 1991 |
Journal: | Mathematical Programming (Series A) |
Authors: | Filar J.A., Vrieze O.J., Schultz T.A., Thuijsman F. |
Keywords: | programming: nonlinear |
Stationary equilibria in discounted and limiting average finite state/action space stochastic games are shown to be equivalent to global optima of certain nonlinear programs. For zero sum limiting average games, this formulation reduces to a linear objective, nonlinear constraints program, which finds the ‘best’ stationary strategies, even when