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Article Dans Une Revue Journal of Mathematical Analysis and Applications Année : 2018

Generic uniqueness of the bias vector of finite stochastic games with perfect information

Résumé

Mean-payoff zero-sum stochastic games can be studied by means of a nonlinear spectral problem. When the state space is finite, the latter consists in finding an eigenpair (u,λ) solution of T(u)=λe+u, where T:Rn→Rn is the Shapley (or dynamic programming) operator, λ is a scalar, e is the unit vector, and u∈Rn. The scalar λ yields the mean payoff per time unit, and the vector u, called the bias, allows one to determine optimal stationary strategies. The existence of the eigenpair (u,λ) is generally related to ergodicity conditions. A basic issue is to understand for which classes of games the bias vector is unique (up to an additive constant). In this paper, we consider perfect-information zero-sum stochastic games with finite state and action spaces, thinking of the transition payments as variable parameters, transition probabilities being fixed. We show that the bias vector, thought of as a function of the transition payments, is generically unique (up to an additive constant). The proof uses techniques of max-plus (or tropical) algebra and nonlinear Perron-Frobenius theory. As an application of our results, we obtain a perturbation scheme allowing one to solve degenerate instances of stochastic games by policy iteration.

Dates et versions

hal-01425543 , version 1 (03-01-2017)

Identifiants

Citer

Marianne Akian, Stéphane Gaubert, Antoine Hochart. Generic uniqueness of the bias vector of finite stochastic games with perfect information. Journal of Mathematical Analysis and Applications, 2018, 457, pp.1038-1064. ⟨10.1016/j.jmaa.2017.07.017⟩. ⟨hal-01425543⟩
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