Computing uniformly optimal strategies in two-player stochastic games

Nicolas Vieille (1) , Eilon Solan (2)

1 GREGH - Groupement de Recherche et d'Etudes en Gestion à HEC
2 TAU - School of Mathematical Sciences [Tel Aviv]

We provide a computable algorithm to calculate uniform ε-optimal strategies in two-player zero-sum stochastic games. Our approach can be used to construct algorithms that calculate uniform ε-equilibria and uniform correlated ε-equilibria in various classes of multi-player non-zero-sum stochastic games.

Keywords: Optimal strategies; Stochastic games; Computation

Domains: Humanities and Social Sciences; Economics and Finance; Economy and decision science

Nicolas Vieille, Eilon Solan. Computing uniformly optimal strategies in two-player stochastic games. Economic Theory, 2009, Vol.42,nº1, pp.237-253. ⟨10.1007/s00199-009-0437-1⟩. ⟨hal-00528413⟩