On discounted stochastic games with incomplete information on payoffs and a security application |
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Authors: | Erim Karde? |
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Institution: | Nisantepe Mah Orman Sk No 13, Ozyegin University, Istanbul, Turkey |
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Abstract: | This paper presents a robust optimization model for n-person finite state/action stochastic games with incomplete information on payoffs. For polytopic uncertainty sets, we propose an explicit mathematical programming formulation for an equilibrium calculation. It turns out that a global optimal of this mathematical program yields an equilibrium point and epsilon-equilibria can be calculated based on this result. We briefly describe an incomplete information version of a security application that can benefit from robust game theory. |
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Keywords: | Stochastic games Robust optimization Robust game theory Security application |
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