Some Classes of Imperfect Information Finite State-Space Stochastic Games with Finite-Dimensional Solutions

Some Classes of Imperfect Information Finite State-Space Stochastic Games with Finite-Dimensional... Stochastic games under imperfect information are typically computationally intractable even in the discrete-time/discrete-state case considered here. We consider a problem where one player has perfect information. A function of a conditional probability distribution is proposed as an information state. In the problem form here, the payoff is only a function of the terminal state of the system, and the initial information state is either linear or a sum of max-plus delta functions. When the initial information state belongs to these classes, its propagation is finite-dimensional. The state feedback value function is also finite-dimensional, and obtained via dynamic programming, but has a nonstandard form due to the necessity of an expanded state variable. Under a saddle point assumption, Certainty Equivalence is obtained and the proposed function is indeed an information state. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Some Classes of Imperfect Information Finite State-Space Stochastic Games with Finite-Dimensional Solutions

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Publisher
Springer-Verlag
Copyright
Copyright © 2004 by Springer-Verlag
Subject
Philosophy
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-004-0793-y
Publisher site
See Article on Publisher Site

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