Group for Research in Decision Analysis

G-85-16

On the Computation of Equilibria in Discounted Stochastic Dynamic Games

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Various algorithms for numerical solutions of discounted stochastic games are presented. For zero-sum two-person games, the existing algorithms are compared on randomly generated games and a hybrid algorithm is proposed. For general-sum N-person games, a new mathematical programming formulation which permits the numerical solution of a game by using a non-linear programming code is presented.

, 26 pages