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An algorithm for discounted Switching Control Stochastic Games

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Summary

In a Switching Control Stochastic Game the law of motion is controlled by player I alone when being in a certain subset of states and by player II alone when being in the other states. For the discounted case Vrieze [6] has given an algorithm which consists in solving a finite number of linear programs and is related to policy iteration. In this paper an alternative finite algorithm is furnished similar to value iteration.

Zusammenfassung

In einem ‚'stochastischen Spiel mit wechselnder Kontrolle“ wird das Bewegungsgesetz in einem Teil der Zustände von Spieler I und in den anderen Zuständen von Spieler II kontrolliert. Für den diskontierten Fall hat Vrieze [6] einen Politikiterations-Algo-rithmus angegeben, bei dem endlich viele lineare Programme gelöst werden müssen. In dieser Arbeit wird ein alternativer endlicher Algorithmus vorgestellt, der eher der Wertiteration entspricht.

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References

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Authors and Affiliations

  1. Indian Statistical Institute, New Delhi, India

    S. R. Mohan

  2. Department of Mathematics, University of Illinois at Chicago, USA

    T. E. S. Raghavan

Authors
  1. S. R. Mohan
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  2. T. E. S. Raghavan
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Additional information

This research is partially supported by NSF Grants DMS-8601403

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Mohan, S.R., Raghavan, T.E.S. An algorithm for discounted Switching Control Stochastic Games. OR Spektrum 9, 41–45 (1987). https://doi.org/10.1007/BF01720798

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  • DOI: https://doi.org/10.1007/BF01720798

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