On discounted stochastic games with incomplete information on payoffs and a security application
Author
Type :
Article
Publication Status :
published
Access :
restrictedAccess
Abstract
This paper presents a robust optimization model for n-person finite state/action stochastic games with incomplete information on payoffs. For polytopic uncertainty sets, we propose an explicit mathematical programming formulation for an equilibrium calculation. It turns out that a global optimal of this mathematical program yields an equilibrium point and epsilon-equilibria can be calculated based on this result. We briefly describe an incomplete information version of a security application that can benefit from robust game theory.
Source :
Operations Research Letters
Date :
2014-01
Volume :
42
Issue :
1
Publisher :
Elsevier
URI
http://www.sciencedirect.com/science/article/pii/S0167637713001430http://hdl.handle.net/10679/375
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