Related papers: On Bellman's Optimality Principle for zs-POSGs

We study the problem of computing an approximate Nash equilibrium of a game whose strategy space is continuous without access to gradients of the utility function. Such games arise, for example, when players' strategies are represented by…

In this tutorial, we provide an introduction to machine learning methods for finding Nash equilibria in games with large number of agents. These types of problems are important for the operations research community because of their…

Viewing stochastic processes through the lens of occupation measures has proved to be a powerful angle of attack for the theoretical and computational analysis of stochastic optimal control problems. We present a simple modification of the…

The Team-maxmin equilibrium prescribes the optimal strategies for a team of rational players sharing the same goal and without the capability of correlating their strategies in strategic games against an adversary. This solution concept can…

In this paper, zero-sum mean-field type games (ZSMFTG) with linear dynamics and quadratic utility are studied under infinite-horizon discounted utility function. ZSMFTG are a class of games in which two decision makers whose utilities sum…

We study the open question of how players learn to play a social optimum pure-strategy Nash equilibrium (PSNE) through repeated interactions in general-sum coordination games. A social optimum of a game is the stable Pareto-optimal state…

Many real-world domains contain multiple agents behaving strategically with probabilistic transitions and uncertain (potentially infinite) duration. Such settings can be modeled as stochastic games. While algorithms have been developed for…

We study a stochastic differential game between two players, controlling a forward stochastic Volterra integral equation (FSVIE). Each player has to optimize his own performance functional which includes a backward stochastic differential…

Finding Nash equilibria in two-player zero-sum imperfect-information games remains a central challenge in multi-agent reinforcement learning. Recent multi-round regularization methods offer a promising direction, yet existing approaches…

Game theory serves as a powerful tool for distributed optimization in multi-agent systems in different applications. In this paper we consider multi-agent systems that can be modeled by means of potential games whose potential function…

Game-theoretic agents must make plans that optimally gather information about their opponents. These problems are modeled by partially observable stochastic games (POSGs), but planning in fully continuous POSGs is intractable without heavy…

We study a stochastic differential game in a ruin theoretic environment. In our setting two insurers compete for market share, which is represented by a joint performance functional. Consequently, one of the insurers strives to maximize it,…

We study online optimization methods for zero-sum games, a fundamental problem in adversarial learning in machine learning, economics, and many other domains. Traditional methods approximate Nash equilibria (NE) using either regret-based…

This paper considers a new class of deterministic finite-time horizon, two-player, zero-sum differential games (DGs) in which the maximizing player is allowed to take continuous and impulse controls whereas the minimizing player is allowed…

We consider infinite-horizon $\gamma$-discounted Markov Decision Processes, for which it is known that there exists a stationary optimal policy. We consider the algorithm Value Iteration and the sequence of policies $\pi_1,...,\pi_k$ it…

Nash`s classical bargaining solution suggests that n players in a non-cooperative bargaining situation should find a solution that maximizes the product of each player's utility functions. We consider a special case: Suppose that the…

This paper investigates discrete-time Markov decision processes with recursive utilities (or payoffs) defined by the classic CES aggregator and the Kreps-Porteus certainty equivalent operator. According to the classification introduced by…

We study a sequential coin-flipping game in which a player starts with~$n$ coins, each landing heads independently with probability~$p$. In each round the player flips all remaining coins and must set aside at least one coin showing heads;…

Standard Markovian optimal stopping problems are consistent in the sense that the first entrance time into the stopping set is optimal for each initial state of the process. Clearly, the usual concept of optimality cannot in a…

Learning problems commonly exhibit an interesting feedback mechanism wherein the population data reacts to competing decision makers' actions. This paper formulates a new game theoretic framework for this phenomenon, called "multi-player…