A stochastic approach to approximate values in cooperative games

Stefano Benati, Fernando López-Blázquez and Justo Puerto

European Journal of Operational Research, 2019, vol. 279, issue 1, 93-106

Abstract: Computing additive values in cooperative games, like the Shapley value, is a hard task because, in general, it involves the summation of an exponential number of terms. We propose a new method, based on the stochastic approximation of deterministic games and sampling theory, to calculate a statistic estimate of these values and, at the same time, keeping under control estimation errors. We applied this technique to several well-known games and we show that in many cases we were able to improve previous results.

Keywords: Game theory; Cooperative games; Values; Stochastic games; Statistical sampling (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:279:y:2019:i:1:p:93-106

DOI: 10.1016/j.ejor.2019.05.027

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