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Worst-case analysis for a leader–follower partially observable stochastic game

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  • Yanling Chang
  • Chelsea C. White

Abstract

Although Partially Observable Stochastic Games (POSGs) provide a powerful mathematical paradigm for modeling multi-agent dynamic decision making under uncertainty and partial information, they are notoriously hard to solve (e.g., the common-payoff POSGs are NEXP-complete) and have an extensive data requirement on each agent. The latter may represent a serious challenge to a defending agent if he/she has limited knowledge of its adversary. A worst-case analysis can significantly reduce both model computational complexity and data requirements regarding the adversary; further, a (near) optimal worst-case policy may represent a useful guide for action selection for risk-averse defenders (e.g., benchmarks). This article introduces a worst-case analysis to a leader–follower POSG where: (i) the defending leader has little knowledge of the adversarial follower’s reward structure, level of rationality, and process for gathering and transmitting data relevant for decision making; (ii) the objective is to determine a best worst-case value function and a control strategy for the leader. We show that the worst-case assumption transforms this POSG into a more computationally tractable single-agent problem with a simple sufficient statistic. However, the value function can be non-convex, in contrast with the value function of a partially observable Markov decision process. We design an iterative solution procedure for computing a lower bound of the leader’s value function and its control policy for the finite horizon case. This approach was numerically illustrated to support decision making in a security example.

Suggested Citation

  • Yanling Chang & Chelsea C. White, 2022. "Worst-case analysis for a leader–follower partially observable stochastic game," IISE Transactions, Taylor & Francis Journals, vol. 54(4), pages 376-389, April.
  • Handle: RePEc:taf:uiiexx:v:54:y:2022:i:4:p:376-389
    DOI: 10.1080/24725854.2021.1955167
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