Approximation of two-person zero-sum continuous-time Markov games with average payoff criterion

作者：Lorenzo Jose Maria; Hernandez Noriega Ismael; Prieto Rumeau Tomas^*

来源：Operations Research Letters, 2015, 43(1): 110-116.

DOI：10.1016/j.orl.2014.12.004

• Continuous-time zero-sum Markov games
• Average payoff
• Approximation of game models
• Policy iteration algorithm

We consider a two-person zero-sum continuous-time Markov game g with denumerable state space, Sorel action spaces, unbounded payoff and transition rates, under the long-run expected average payoff criterion. To approximate numerically the value of 9, we construct finite state and actions game models g(n) whose value functions converge to the value of g. Rates of convergence are given. We propose a policy iteration algorithm for the finite state and actions games g(n). We show an application to a population system.

• 出版日期2015-1