The method of successive approximations for the discounted Markov game

Abstract

This paper presents a number of successive approximation algorithms for the repeated two-person zero-sum game called Markov game using the criterion of total expected discounted rewards. As Wessels [12] did for Markov decision processes stopping times are introduced in order to simplify the proofs. It is shown that each algorithm provides upper and lower bounds for the value of the game and nearly optimal stationary strategies for both players