NONLINEAR-PROGRAMMING AND STATIONARY EQUILIBRIA IN STOCHASTIC GAMES

JA FILAR*, TA SCHULTZ, F THUIJSMAN, OJ VRIEZE

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

23 Citations (Web of Science)

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 epsilon-optimal stationary strategies do not exist, for arbitrarily small epsilon.
Original languageEnglish
Pages (from-to)227-237
JournalMathematical Programming
Volume50
Issue number2
DOIs
Publication statusPublished - Apr 1991

Keywords

  • STOCHASTIC GAME THEORY

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