Related papers: Solvency Markov Decision Processes with Interest
We consider large-scale Markov decision processes (MDPs) with a risk measure of variability in cost, under the risk-aware MDPs paradigm. Previous studies showed that risk-aware MDPs, based on a minimax approach to handling risk, can be…
We show that an N-person non-cooperative semi-Markov game under limiting ratio average pay-off has a pure semi-stationary Nash equilibrium. In an earlier paper, the zero-sum two person case has been dealt with. The proof follows by reducing…
We study Markov potential games under the infinite horizon average reward criterion. Most previous studies have been for discounted rewards. We prove that both algorithms based on independent policy gradient and independent natural policy…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
Baker devised a technique to obtain approximation schemes for many optimization problems restricted to planar graphs; her technique was later extended to more general graph classes. In particular, using the Baker's technique and the minor…
Richman games are zero-sum games, where in each turn players bid in order to determine who will play next [Lazarus et al.'99]. We extend the theory to impartial general-sum two player games called \emph{bidding games}, showing the existence…
The existence of a polynomial pivot rule for the simplex method for linear programming, policy iteration for Markov decision processes, and strategy improvement for parity games each are prominent open problems in their respective fields.…
This paper considers the theoretical, computational, and econometric properties of continuous time dynamic discrete choice games with stochastically sequential moves, introduced by Arcidiacono, Bayer, Blevins, and Ellickson (2016). We…
We propose a payoff function extending Minority Games (MG) that captures the competition between agents to make money. In constrast with previous MG, the best strategies are not always targeting the minority but are shifting…
We give polynomial-time algorithms for computing the values of Markov decision processes (MDPs) with limsup and liminf objectives. A real-valued reward is assigned to each state, and the value of an infinite path in the MDP is the limsup…
This work contains the mathematical exploration of a few prototypical games in which central concepts from statistics and probability theory naturally emerge. The first two kinds of games are termed Fisher and Bayesian games, which are…
An ideal strategy in zero-sum games should not only grant the player an average reward no less than the value of Nash equilibrium, but also exploit the (adaptive) opponents when they are suboptimal. While most existing works in Markov games…
We consider the classic Kelly gambling problem with general distribution of outcomes, and an additional risk constraint that limits the probability of a drawdown of wealth to a given undesirable level. We develop a bound on the drawdown…
In this paper, we study games with continuous action spaces and non-linear payoff functions. Our key insight is that Lipschitz continuity of the payoff function allows us to provide algorithms for finding approximate equilibria in these…
Given rationals $\alpha$ and $\beta$, the sure-almost-sure problem for a quantitative objective $\varphi$ in a Markov decision process (MDP) asks if one can simultaneously ensure that all outcomes of the MDP have $\varphi$-value at least…
In this paper we study the existence of an optimal hedging strategy for the shortfall risk measure in the game options setup. We consider the continuous time Black--Scholes (BS) model. Our first result says that in the case where the game…
We study the performance of policy gradient methods for the subclass of Markov games known as Markov potential games (MPGs), which extends the notion of normal-form potential games to the stateful setting and includes the important special…
The introduction of new services, such as Mobile Edge Computing (MEC), requires a massive investment that cannot be assumed by a single stakeholder, for instance the Infrastructure Provider (InP). Service Providers (SPs) however also have…
In a casino where arbitrarily small bets are admissible, any betting strategy M can be modified into a savings strategy that, not only is successful on each casino sequence where M is (thus accumulating unbounded wealth inside the casino)…
This paper provides a general characterization of subgame perfect equilibria for strategic timing problems, where two firms have the (real) option to make an irreversible investment. Profit streams are uncertain and depend on the market…