Minimax representation of nonexpansive functions and application to zero-sum recursive games

zbMATH Open1386.49009arXiv1605.04518MaRDI QIDQ4609985FDOQ4609985

Authors: Marianne Akian, Stéphane Gaubert, Antoine Hochart 

Publication date: 27 March 2018

Abstract: We show that a real-valued function on a topological vector space is positively homogeneous of degree one and nonexpansive with respect to a weak Minkowski norm if and only if it can be written as a minimax of linear forms that are nonexpansive with respect to the same norm. We derive a representation of monotone, additively and positively homogeneous functions on $L^{i}nfty$ spaces and on $mathbb{R}^n$, which extend results of Kolokoltsov, Rubinov, Singer, and others. We apply this representation to nonconvex risk measures and to zero-sum games. We derive in particular results of representation and polyhedral approximation for the class of Shapley operators arising from games without instantaneous payments (Everett's recursive games).

Full work available at URL: https://arxiv.org/abs/1605.04518

Recommendations

• Minimax inequalities on \(G\)-convex spaces with applications to generalized games
• Zero-sum polymatrix games: a generalization of minmax
• Existence of solution of minimax inequalities, equilibria in games and fixed points without convexity and compactness assumptions
• scientific article; zbMATH DE number 1100442
• A Tauberian theorem for nonexpansive operators and applications to zero-sum stochastic games
• scientific article; zbMATH DE number 1341948
• An extension of Sion's minimax theorem with an application to a method for constrained games
• On the minimal representation of homogeneous games
• Pseudocontinuity in optimization and nonzero-sum games
• On noncooperative games, minimax theorems, and equilibrium problems

zbMATH Keywords

risk measuresShapley operatorszero-sum gamesminimax representationrecursive gamesnonexpansive mapsweak Minkowski norms

Mathematics Subject Classification ID

Convexity of real functions of several variables, generalizations (26B25) Dynamic programming in optimal control and differential games (49L20) Discrete approximations in optimal control (49M25) Stochastic games, stochastic differential games (91A15) Existence of solutions for minimax problems (49J35)

Cites Work

• Coherent measures of risk
• Convex analysis and monotone operator theory in Hilbert spaces
• Title not available (Why is that?)
• Asymptotic properties of monotonic nonexpansive mappings
• Spectral theorem for convex monotone homogeneous maps, and ergodic control
• Inf-convolution, sous-additivite, convexite des fonctions numériques
• Ergodicity conditions for zero-sum games
• Title not available (Why is that?)
• Some Relations Between Nonexpansive and Order Preserving Mappings
• Title not available (Why is that?)
• Title not available (Why is that?)
• The Perron-Frobenius theorem for homogeneous, monotone functions
• Infinite dimensional analysis. A hitchhiker's guide.
• An operator approach to zero-sum repeated games
• Max-plus methods for nonlinear control and estimation.
• Convex measures of risk and trading constraints
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Vector spaces with an order unit
• Title not available (Why is that?)
• Monotonic analysis over cones. III
• Title not available (Why is that?)
• Monotonic Analysis over Cones: I
• Discounted Dynamic Programming
• A maximin characterisation of the escape rate of non-expansive mappings in metrically convex spaces
• Stochastic finance. An introduction in discrete time.
• Title not available (Why is that?)
• The Max-Plus Finite Element Method for Solving Deterministic Optimal Control Problems: Basic Properties and Convergence Analysis
• Topical and sub-topical functions, downward sets and abstract convexity
• Downward sets and their separation and approximation properties
• From max-plus algebra to nonexpansive mappings: A nonlinear theory for discrete event systems.
• Distributed dynamic programming for discrete-time stochastic control, and idempotent algorithms
• Handbook of Hilbert geometry

Cited In (5)

• min-max spaces and complexity reduction in min-max expansions
• Submathematics and tropical mathematics
• Perspective functions: properties, constructions, and examples
• Asymmetric free spaces and canonical asymmetrizations
• A maximin characterisation of the escape rate of non-expansive mappings in metrically convex spaces

This page was built for publication: Minimax representation of nonexpansive functions and application to zero-sum recursive games

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4609985)