Related papers: Multigrid methods for two-player zero-sum stochast…
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods…
Nonzero-sum stochastic differential games with impulse controls offer a realistic and far-reaching modelling framework for applications within finance, energy markets, and other areas, but the difficulty in solving such problems has…
Policy-based methods with function approximation are widely used for solving two-player zero-sum games with large state and/or action spaces. However, it remains elusive how to obtain optimization and statistical guarantees for such…
The policy iteration method is a classical algorithm for solving optimal control problems. In this paper, we introduce a policy iteration method for Mean Field Games systems, and we study the convergence of this procedure to a solution of…
We consider zero-sum stochastic games with finite state and action spaces, perfect information, mean payoff criteria, without any irreducibility assumption on the Markov chains associated to strategies (multichain games). The value of such…
We present a policy iteration algorithm for the infinite-horizon N-player general-sum deterministic linear quadratic dynamic games and compare it to policy gradient methods. We demonstrate that the proposed policy iteration algorithm is…
Unlike Poker where the action space $\mathcal{A}$ is discrete, differential games in the physical world often have continuous action spaces not amenable to discrete abstraction, rendering no-regret algorithms with…
Stochastic games are an important class of problems that generalize Markov decision processes to game theoretic scenarios. We consider finite state two-player zero-sum stochastic games over an infinite time horizon with discounted rewards.…
In this paper, we formulate a two-player zero-sum game under dynamic constraints defined by hybrid dynamical equations. The game consists of a min-max problem involving a cost functional that depends on the actions and resulting solutions…
In this paper, we consider a differential stochastic zero-sum game in which two players intervene by adopting impulse controls in a finite time horizon. We provide a numerical solution as an approximation of the value function, which turns…
A general model for zero-sum stochastic games with asymmetric information is considered. In this model, each player's information at each time can be divided into a common information part and a private information part. Under certain…
Two-player complete-information game trees are perhaps the simplest possible setting for studying general-sum games and the computational problem of finding equilibria. These games admit a simple bottom-up algorithm for finding subgame…
This paper investigates the two-person zero-sum stochastic games for piece-wise deterministic Markov decision processes with risk-sensitive finite-horizon cost criterion on a general state space. Here, the transition and cost/reward rates…
Policy gradient methods have become a staple of any single-agent reinforcement learning toolbox, due to their combination of desirable properties: iterate convergence, efficient use of stochastic trajectory feedback, and theoretically-sound…
Simple stochastic games are turn-based 2.5-player zero-sum graph games with a reachability objective. The problem is to compute the winning probability as well as the optimal strategies of both players. In this paper, we compare the three…
Continuous games are multiplayer games in which strategy sets are compact and utility functions are continuous. These games typically have a highly complicated structure of Nash equilibria, and numerical methods for the equilibrium…
A zero-sum two person Perfect Information Stochastic game (PISG) under limiting average payoff has a value and both the maximiser and the minimiser have optimal pure stationary strategies. Firstly we form the matrix of undiscounted payoffs…
We obtain global, non-asymptotic convergence guarantees for independent learning algorithms in competitive reinforcement learning settings with two agents (i.e., zero-sum stochastic games). We consider an episodic setting where in each…
Simple stochastic games are turn-based 2.5-player zero-sum graph games with a reachability objective. The problem is to compute the winning probability as well as the optimal strategies of both players. In this paper, we compare the three…
We formulate and study a class of two-player zero-sum stochastic dynamic games with partial and asymmetric information. Information asymmetry introduces fundamental challenges involving \emph{belief representation} and \emph{theory of mind}…