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Policy Iteration Algorithms for Zero-Sum Stochastic Differential Games with Long-Run Average Payoff Criteria
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作者 JoséDaniel López-Barrientos 《Journal of the Operations Research Society of China》 EI 2014年第4期395-421,共27页
This paper studies the policy iteration algorithm(PIA)for zero-sum stochastic differential games with the basic long-run average criterion,as well as with its more selective version,the so-called bias criterion.The sy... This paper studies the policy iteration algorithm(PIA)for zero-sum stochastic differential games with the basic long-run average criterion,as well as with its more selective version,the so-called bias criterion.The system is assumed to be a nondegenerate diffusion.We use Lyapunov-like stability conditions that ensure the existence and boundedness of the solution to certain Poisson equation.We also ensure the convergence of a sequence of such solutions,of the corresponding sequence of policies,and,ultimately,of the PIA. 展开更多
关键词 Ergodic payoff criterion Zero-sum stochastic differential games policy iteration algorithm Nondegenerate diffusions Poisson equation Schäl convergence Bias game
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