Nonlinear programming and stationary equilibria in stochastic games

J. A. Filar; T. A. Schultz; F. Thuijsman; O. J. Vrieze

Nonlinear programming and stationary equilibria in stochastic games

J. A. Filar, T. A. Schultz, F. Thuijsman, O. J. Vrieze

Graduate Studies

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

35 Scopus citations

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

Original language	English (US)
Pages (from-to)	227-237
Number of pages	11
Journal	Mathematical Programming
Volume	50
Issue number	1-3
State	Published - Mar 1 1991

Keywords

Stochastic game theory

ASJC Scopus subject areas

Applied Mathematics
Mathematics(all)
Safety, Risk, Reliability and Quality
Management Science and Operations Research
Software
Computer Graphics and Computer-Aided Design
Computer Science(all)

Cite this

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AU - Schultz, T. A.

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N2 - 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 ε-optimal stationary strategies do not exist, for arbitrarily small ε.

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Nonlinear programming and stationary equilibria in stochastic games

Abstract

Keywords

ASJC Scopus subject areas

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