Successive Approximation Methods in Undiscounted Stochastic Games

Awi Federgruen
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Awi Federgruen: Columbia University, New York, New York

Operations Research, 1980, vol. 28, issue 3-part-ii, 794-809

Abstract: This paper considers undiscounted two-person, zero-sum sequential games with finite state and action spaces. Under conditions that guarantee the existence of stationary optimal strategies, we present two successive approximation methods for finding the optimal gain rate, a solution to the optimality equation, and for any ϵ > 0, ϵ-optimal policies for both players.

Date: 1980
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