NONLINEAR-PROGRAMMING AND STATIONARY EQUILIBRIA IN STOCHASTIC GAMES

JA FILAR; TA SCHULTZ; F THUIJSMAN; OJ VRIEZE

doi:10.1007/BF01594936

NONLINEAR-PROGRAMMING AND STATIONARY EQUILIBRIA IN STOCHASTIC GAMES

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

^*Corresponding author for this work

Networks and Strategic Optimization

Research output: Contribution to journal › Article › Academic › peer-review

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 language	English
Pages (from-to)	227-237
Journal	Mathematical Programming
Volume	50
Issue number	2
DOIs	https://doi.org/10.1007/BF01594936
Publication status	Published - Apr 1991

Keywords

STOCHASTIC GAME THEORY

Access to Document

10.1007/BF01594936

Cite this

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title = "NONLINEAR-PROGRAMMING AND STATIONARY EQUILIBRIA IN STOCHASTIC GAMES",

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.",

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AU - VRIEZE, OJ

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JO - Mathematical Programming

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