Search for a saddle point of a convex-concave stochastic game by the adaptive method of mirror descent.
Alexander V. Nazin · Transaction Kola Science Centre · 2020
A stochastic game problem of 2 persons with a zero sum is considered, leading to the search for a saddle point of the game function based on the gradient approach. We study mirror descent algorithms, both adaptive and non-adaptive. The main results are proved. An illustrative example is discussed.