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Article Dans Une Revue Numerical Linear Algebra with Applications Année : 2012

Multigrid methods for two-player zero-sum stochastic games

Résumé

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 Isaacs equation. We present numerical tests on discretizations of Isaacs equations or variational inequalities. We also present a full multi-level policy iteration, similar to FMG, which allows to improve substantially the computation time for solving some variational inequalities.

Dates et versions

hal-00773036 , version 1 (11-01-2013)

Identifiants

Citer

Marianne Akian, Sylvie Detournay. Multigrid methods for two-player zero-sum stochastic games. Numerical Linear Algebra with Applications, 2012, 19 (2), pp.313--342. ⟨10.1002/nla.1815⟩. ⟨hal-00773036⟩
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