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Solving Infinite-Horizon Discounted Markov Games Using a Superharmonic Least-Element Algorithm

Author

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  • D. J. White

    (Faculty of Economics and Social Studies, University of Manchester, Manchester, United Kingdom M13 9PZ)

Abstract

In this paper we present an algorithm for solving infinite-horizon discounted Markov games based upon the fact that the value function is a least element of a superharmonic set. The algorithm produces a pair of policies whose value function is within a specified error of the solution to the fixed point equation. Part of the algorithm involves solving a set of fractional programs which are replaced by equivalent linear programs.

Suggested Citation

  • D. J. White, 1993. "Solving Infinite-Horizon Discounted Markov Games Using a Superharmonic Least-Element Algorithm," Management Science, INFORMS, vol. 39(1), pages 93-100, January.
    • Handle: RePEc:inm:ormnsc:v:39:y:1993:i:1:p:93-100
    DOI: 10.1287/mnsc.39.1.93
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