Multigrid methods for two-player zero-sum stochastic games

SUMMARY We present a fast numerical algorithm for large scale zero‐sum stochastic games with perfect information, which combines policy iteration and algebraic multigrid methods. This algorithm can be applied either to a true finite state space zero‐sum two‐player game or to the discretization of an...

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Veröffentlicht in:	Numerical linear algebra with applications 2012-03, Vol.19 (2), p.313-342
Hauptverfasser:	Akian, Marianne, Detournay, Sylvie
Format:	Artikel
Sprache:	eng
Schlagworte:	algebraic multigrid methods dynamic programming Hamilton-Jacobi equations Isaacs equations Mathematics Optimization and Control policy iteration two-player zero-sum stochastic games variational inequalities
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