Augmented probability simulation methods for sequential games

Tahir Ekin, Roi Naveiro, David Ríos Insua and Alberto Torres-Barrán

European Journal of Operational Research, 2023, vol. 306, issue 1, 418-430

Abstract: We present a robust framework with computational algorithms to support decision makers in sequential games. Our framework includes methods to solve games with complete information, assess the robustness of such solutions and, finally, approximate adversarial risk analysis solutions when lacking complete information. Existing simulation based approaches can be inefficient when dealing with large sets of feasible decisions; the game of interest may not even be solvable to the desired precision for continuous decisions. Hence, we provide a novel alternative solution method based on the use of augmented probability simulation. While the proposed framework conceptually applies to multi-stage sequential games, the discussion focuses on two-stage sequential defend-attack problems.

Keywords: Decision analysis; Sequential games; Augmented probability simulation; Adversarial risk analysis (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:306:y:2023:i:1:p:418-430

DOI: 10.1016/j.ejor.2022.06.042

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