Multigrid methods for two-player zero-sum stochastic games, in "Numer


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 discretiza-tion 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 in-equalities.

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oaioai:CiteSeerX.psu:10.1...Last time updated on 10/30/2017

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