Sequential decomposition of stochastic Stackelberg games

Deepanshu Vasal

Papers from arXiv.org

Abstract: In this paper, we consider a discrete-time stochastic Stackelberg game with a single leader and multiple followers. Both the followers and the leader together have conditionally independent private types, conditioned on action and previous state, that evolve as controlled Markov processes. The objective is to compute the stochastic Stackelberg equilibrium of the game where the leader commits to a dynamic strategy. Each follower's strategy is the best response to the leader's strategies and other followers' strategies while the each leader's strategy is optimum given the followers play the best response. In general, computing such equilibrium involves solving a fixed-point equation for the whole game. In this paper, we present a backward recursive algorithm that computes such strategies by solving smaller fixed-point equations for each time $t$. Based on this algorithm, we compute stochastic Stackelberg equilibrium of a security example and a dynamics information design example used in~\cite{El17} (beeps).

Date: 2020-05, Revised 2022-09
New Economics Papers: this item is included in nep-gth
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