Optimal strategies for adaptive zero-sum average Markov games

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Abstract

We consider a class of discrete-time two person zero-sum Markov games with Borel state and action spaces, and possibly unbounded payoffs. The game evolves according to the recursive equation xn+1=F(xn, an, bn, ξn), n=0, 1, . . ., where the disturbance process {ξn} is formed by independent and identically distributed Rk-valued random vectors, which are observable but their common density ρ*is unknown for both players. Combining suitable methods of statistical estimation of ρ*with optimization procedures, we construct a pair of average optimal strategies. © 2013 Elsevier Ltd.
Original languageAmerican English
Pages (from-to)44-56
Number of pages13
JournalJournal of Mathematical Analysis and Applications
DOIs
StatePublished - 1 Jun 2013

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