Homotopy Continuation Method for Discounted Zero-Sum Stochastic Game with ARAT Structure

DOI10.1142/S0219198923400042MaRDI QIDQ6048097zbMATH OpenOpenAlexFDO

Authors

Publication date 10 October 2023

Published in International Game Theory Review (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2203.08561

zbMATH Keywords

discounted ARAT stochastic gamehomotopy methodoptimal stationary strategyoptimal valuetwo-person zero-sum stochastic game

Mathematics Subject Classification ID

Numerical algebraic geometry (65H14) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) 2-person games (91A05) Noncooperative games (91A10) Stochastic games, stochastic differential games (91A15)

Abstract: In this paper, we introduce a homotopy function to trace the trajectory by applying modified homotopy continuation method for finding the solution of two-person zero-sum discounted stochastic ARAT game. We show that the algorithm has the higher order of convergence. For the proposed algorithm, the homotopy path approaching the solution is smooth and bounded. Two numerical examples are illustrated to show the effectiveness of the proposed algorithm.

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(2)

• Vertical linear complementarity and discounted zero-sum stochastic games with ARAT structure
• Generalized multilinear games and vertical tensor complementarity problems

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