Accession Number:

ADA460599

Title:

The Gauss-Seidel Numerical Procedure for Markov Stochastic Games

Descriptive Note:

Corporate Author:

BROWN UNIV PROVIDENCE RI

Personal Author(s):

Report Date:

2004-01-01

Pagination or Media Count:

7.0

Abstract:

Consider the problem of value iteration for solving Markov stochastic games. One simply iterates backwards, via a Jacobi-like procedure. The convergence of the Gauss-Seidel form of this procedure is shown for both the discounted and ergodic cost problems, under appropriate conditions, with extensions to problems where one stops when a boundary is hit or if any one of the players chooses to stop, with associated costs. Generally, the Gauss-Seidel procedure accelerates convergence.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE