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

D. J. White
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D. J. White: Faculty of Economics and Social Studies, University of Manchester, Manchester, United Kingdom M13 9PZ

Management Science, 1993, vol. 39, issue 1, 93-100

Abstract: 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.

Keywords: Markov game; least element; linear programming (search for similar items in EconPapers)
Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:39:y:1993:i:1:p:93-100

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