Two Person Zero-Sum Semi-Markov Games with Unknown Holding Times Distribution on One Side: A Discounted Payoff Criterion

Two Person Zero-Sum Semi-Markov Games with Unknown Holding Times Distribution on One Side: A... This paper deals with two person zero-sum semi-Markov games with a possibly unbounded payoff function, under a discounted payoff criterion. Assuming that the distribution of the holding times H is unknown for one of the players, we combine suitable methods of statistical estimation of H with control procedures to construct an asymptotically discount optimal pair of strategies. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Applied Mathematics and Optimization Springer Journals

Two Person Zero-Sum Semi-Markov Games with Unknown Holding Times Distribution on One Side: A Discounted Payoff Criterion

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Publisher
Springer-Verlag
Copyright
Copyright © 2008 by Springer Science+Business Media, LLC
Subject
Mathematics; Numerical and Computational Methods ; Mathematical Methods in Physics; Mathematical and Computational Physics; Systems Theory, Control; Calculus of Variations and Optimal Control; Optimization
ISSN
0095-4616
eISSN
1432-0606
D.O.I.
10.1007/s00245-007-9016-7
Publisher site
See Article on Publisher Site

Abstract

This paper deals with two person zero-sum semi-Markov games with a possibly unbounded payoff function, under a discounted payoff criterion. Assuming that the distribution of the holding times H is unknown for one of the players, we combine suitable methods of statistical estimation of H with control procedures to construct an asymptotically discount optimal pair of strategies.

Journal

Applied Mathematics and OptimizationSpringer Journals

Published: Jun 1, 2008

References

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