Solving Infinite-Horizon Discounted Markov Games Using a Superharmonic Least-Element Algorithm

In this paper we present an algorithm for solving infinite-horizon discounted Markov games based upon the fact that the value function is a least element of a superharmonic set. The algorithm produces a pair of policies whose value function is within a specified error of the solution to the fixed point equation. Part of the algorithm involves solving a set of fractional programs which are replaced by equivalent linear programs.

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Year of publication:	1993
Authors:	White, D. J.
Published in:	Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 39.1993, 1, p. 93-100
Publisher:	Institute for Operations Research and the Management Sciences - INFORMS
Subject:	Markov game \| least element \| linear programming

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Extent:	application/pdf
Type of publication:	Article
Other identifiers:	10.1287/mnsc.39.1.93 [DOI]
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009209016