Nonlinear programming and stationary equilibria in stochastic games

Nonlinear programming and stationary equilibria in stochastic games

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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: , , ,
Keywords: programming: nonlinear
Abstract:

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 •-optimal stationary strategies do not exist, for arbitrarily small •.

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