Some Classes of Imperfect Information Finite State-Space Stochastic Games with Finite-Dimensional Solutions
- Departments of Mathematics and Mechanical/Aerospace Engineering, University of California at San Diego, La Jolla, CA 92093-0112 (United States), E-mail: wmceneaney@ucsd.edu
Stochastic games under imperfect information are typically computationally intractable even in the discrete-time/discrete-state case considered here. We consider a problem where one player has perfect information.A function of a conditional probability distribution is proposed as an information state.In the problem form here, the payoff is only a function of the terminal state of the system,and the initial information state is either linear ora sum of max-plus delta functions.When the initial information state belongs to these classes, its propagation is finite-dimensional.The state feedback value function is also finite-dimensional,and obtained via dynamic programming,but has a nonstandard form due to the necessity of an expanded state variable.Under a saddle point assumption,Certainty Equivalence is obtained and the proposed function is indeed an information state.
- OSTI ID:
- 21067454
- Journal Information:
- Applied Mathematics and Optimization, Vol. 50, Issue 2; Other Information: DOI: 10.1007/s00245-004-0793-y; Copyright (c) 2004 Springer-Verlag; www.springer-ny.com; Country of input: International Atomic Energy Agency (IAEA); ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
Similar Records
Stochastic Games for Continuous-Time Jump Processes Under Finite-Horizon Payoff Criterion
On 2- and 3-person games on polyhedral sets