Abstract
AbstractThe work deals with a class of discrete‐time zero‐sum Markov games under a discounted optimality criterion with random state‐action‐dependent discount factors of the form , where xn,an,bn, and ξn+1 are the state, the actions of players, and a random disturbance at time n, respectively, taking values in Borel spaces. The one‐stage payoff is assumed to be possibly unbounded. In addition, the process {ξn} is formed by observable, independent, and identically distributed random variables with common distribution θ, which is unknown to players. By using the empirical distribution to estimate θ, we introduce a procedure to approximate the value V∗ of the game; such a procedure yields construction schemes of stationary optimal strategies and asymptotically optimal Markov strategies.
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