Ergodicity conditions for zero-sum games

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September 2015, 35(9): 3901-3931. doi: 10.3934/dcds.2015.35.3901

Ergodicity conditions for zero-sum games

Marianne Akian ^1, , Stéphane Gaubert ^1, and Antoine Hochart ^1,

1.	INRIA and CMAP, Ecole polytechnique, CNRS, CMAP, Ecole polytechnique, Route de Saclay, 91128 Palaiseau Cedex, France, France, France

Received May 2014 Revised December 2014 Published April 2015

Abstract
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A basic question for zero-sum repeated games consists in determining whether the mean payoff per time unit is independent of the initial state. In the special case of ``zero-player'' games, i.e., of Markov chains equipped with additive functionals, the answer is provided by the mean ergodic theorem. We generalize this result to repeated games. We show that the mean payoff is independent of the initial state for all state-dependent perturbations of the rewards if and only if an ergodicity condition is verified. The latter is characterized by the uniqueness modulo constants of nonlinear harmonic functions (fixed points of the recession function associated to the Shapley operator), or, in the special case of stochastic games with finite action spaces and perfect information, by a reachability condition involving conjugate subsets of states in directed hypergraphs. We show that the ergodicity condition for games only depends on the support of the transition probability, and that it can be checked in polynomial time when the number of states is fixed.

Keywords: fixed point, mean ergodic theorem, Shapley operators, dynamic programming, nonexpansive mappings, zero-sum games, mean payoff, directed hypergraphs., Nonlinear ergodic theorem, Galois connections, semigroups of contractions, Poisson equation.

Mathematics Subject Classification: Primary: 47H25; Secondary: 91A20, 05C65, 06A1.

Citation: Marianne Akian, Stéphane Gaubert, Antoine Hochart. Ergodicity conditions for zero-sum games. Discrete & Continuous Dynamical Systems - A, 2015, 35 (9) : 3901-3931. doi: 10.3934/dcds.2015.35.3901

References:

[1]	M. Akian and S. Gaubert, Spectral theorem for convex monotone homogeneous maps and ergodic control,, Nonlinear Analysis, 52 (2003), 637. doi: 10.1016/S0362-546X(02)00170-0.
[2]	M. Akian, S. Gaubert and R. Nussbaum, Uniqueness of the fixed point of nonexpansive semidifferentiable maps,, Trans. Amer. Math. Soc., (). doi: 10.1090/S0002-9947-2015-06413-7.
[3]	M. Akian, S. Gaubert and C. Walsh, The max-plus Martin boundary,, Documenta Mathematica, 14 (2009), 195.
[4]	M. Akian, S. Gaubert and A. Hochart, Fixed point sets of payment-free shapley operators and structural properties of mean payoff games,, in Proceedings of the 21st International Symposium on Mathematical Theory of Networks and Systems, (2014), 7.
[5]	X. Allamigeon, On the complexity of strongly connected components in directed hypergraphs,, Algorithmica, 69 (2014), 335. doi: 10.1007/s00453-012-9729-0.
[6]	F. Baccelli, G. Cohen, G. Olsder and J.-P. Quadrat, Synchronization and Linearity: An Algebra for Discrete Event Systems,, Wiley Series in Probability and Mathematical Statistics, (1992).
[7]	A. Berman and R. J. Plemmons, Nonnegative Matrices in the Mathematical Sciences, vol. 9 of Classics in Applied Mathematics,, Society for Industrial and Applied Mathematics (SIAM), (1994). doi: 10.1137/1.9781611971262.
[8]	G. Birkhoff, Lattice Theory, vol. 25 of Colloquium publications,, American Mathematical Society, (1995).
[9]	J. Bolte, S. Gaubert and G. Vigeral, Definable zero-sum stochastic games,, Mathematics of Operations Research, 40 (2014), 171. doi: 10.1287/moor.2014.0666.
[10]	R. Cavazos-Cadena and D. Hernández-Hernández, Poisson equations associated with a homogeneous and monotone function: necessary and sufficient conditions for a solution in a weakly convex case,, Nonlinear Anal., 72 (2010), 3303. doi: 10.1016/j.na.2009.12.010.
[11]	H. Everett, Recursive games,, in Contributions to the theory of games Vol. III, (1957), 47.
[12]	A. Fathi and A. Siconolfi, PDE aspects of Aubry-Mather theory for quasiconvex hamiltonians,, Calc. Var. Partial Differential Equations, 22 (2005), 185. doi: 10.1007/s00526-004-0271-z.
[13]	A. Fathi, The Weak KAM Theorem in Lagrangian Dynamics,, Cambridge Studies in Advanced Mathematics, (2014).
[14]	G. Gallo, G. Longo, S. Nguyen and S. Pallottino, Directed hypergraphs and applications,, Discrete Appl. Math., 42 (1993), 177. doi: 10.1016/0166-218X(93)90045-P.
[15]	S. Gaubert and J. Gunawardena, The Perron-Frobenius theorem for homogeneous, monotone functions,, Trans. Amer. Math. Soc., 356 (2004), 4931. doi: 10.1090/S0002-9947-04-03470-1.
[16]	O. Hernández-Lerma and J. B. Lasserre, Further Topics on Discrete-Time Markov Control Processes, vol. 42 of Applications of Mathematics (New York),, Springer-Verlag, (1999), 978. doi: 10.1007/978-1-4612-0561-6.
[17]	J. G. Kemeny and J. L. Snell, Finite Markov Chains,, Springer-Verlag, (1976).
[18]	E. Kohlberg and A. Neyman, Asymptotic behavior of nonexpansive mappings in normed linear spaces,, Israel J. Math., 38 (1981), 269. doi: 10.1007/BF02762772.
[19]	B. Lemmens and R. Nussbaum, Nonlinear Perron-Frobenius Theory,, Cambridge university Press, (2012). doi: 10.1017/CBO9781139026079.
[20]	J.-F. Mertens and A. Neyman, Stochastic games,, Internat. J. Game Theory, 10 (1981), 53. doi: 10.1007/BF01769259.
[21]	A. Neyman and S. Sorin, Stochastic Games and Applications, vol. 570 of Nato Science Series C,, Kluwer Academic Publishers, (2003). doi: 10.1007/978-94-010-0189-2.
[22]	R. D. Nussbaum, Hilbert's projective metric and iterated nonlinear maps,, Mem. Amer. Math. Soc., 75 (1988). doi: 10.1090/memo/0391.
[23]	R. D. Nussbaum, Iterated nonlinear maps and Hilbert's projective metric. II,, Mem. Amer. Math. Soc., 79 (1989). doi: 10.1090/memo/0401.
[24]	O. Ore, Galois connexions,, Trans. Amer. Math. Soc., 55 (1944), 493. doi: 10.1090/S0002-9947-1944-0010555-7.
[25]	J. Renault, Uniform value in dynamic programming,, Journal of the European Mathematical Society, 13 (2011), 309. doi: 10.4171/JEMS/254.
[26]	R. T. Rockafellar and R. J.-B. Wets, Variational Analysis,, Springer, (1998). doi: 10.1007/978-3-642-02431-3.
[27]	D. Rosenberg and S. Sorin, An operator approach to zero-sum repeated games,, Israel J. Math., 121 (2001), 221. doi: 10.1007/BF02802505.
[28]	S. Sorin, Asymptotic properties of monotonic nonexpansive mappings,, Discrete Event Dynamic Systems, 14 (2004), 109. doi: 10.1023/B:DISC.0000005011.93152.d8.
[29]	G. Vigeral, A zero-zum stochastic game with compact action sets and no asymptotic value,, Dyn. Games Appl., 3 (2013), 172. doi: 10.1007/s13235-013-0073-z.
[30]	P. Whittle, Optimization Over Time. Vol. II,, Wiley Series in Probability and Mathematical Statistics: Applied Probability and Statistics, (1983).
[31]	K. Yang and Q. Zhao, The balance problem of min-max systems is co-NP hard,, Systems & Control Letters, 53 (2004), 303. doi: 10.1016/j.sysconle.2004.05.009.

show all references

References:

[1]	M. Akian and S. Gaubert, Spectral theorem for convex monotone homogeneous maps and ergodic control,, Nonlinear Analysis, 52 (2003), 637. doi: 10.1016/S0362-546X(02)00170-0.
[2]	M. Akian, S. Gaubert and R. Nussbaum, Uniqueness of the fixed point of nonexpansive semidifferentiable maps,, Trans. Amer. Math. Soc., (). doi: 10.1090/S0002-9947-2015-06413-7.
[3]	M. Akian, S. Gaubert and C. Walsh, The max-plus Martin boundary,, Documenta Mathematica, 14 (2009), 195.
[4]	M. Akian, S. Gaubert and A. Hochart, Fixed point sets of payment-free shapley operators and structural properties of mean payoff games,, in Proceedings of the 21st International Symposium on Mathematical Theory of Networks and Systems, (2014), 7.
[5]	X. Allamigeon, On the complexity of strongly connected components in directed hypergraphs,, Algorithmica, 69 (2014), 335. doi: 10.1007/s00453-012-9729-0.
[6]	F. Baccelli, G. Cohen, G. Olsder and J.-P. Quadrat, Synchronization and Linearity: An Algebra for Discrete Event Systems,, Wiley Series in Probability and Mathematical Statistics, (1992).
[7]	A. Berman and R. J. Plemmons, Nonnegative Matrices in the Mathematical Sciences, vol. 9 of Classics in Applied Mathematics,, Society for Industrial and Applied Mathematics (SIAM), (1994). doi: 10.1137/1.9781611971262.
[8]	G. Birkhoff, Lattice Theory, vol. 25 of Colloquium publications,, American Mathematical Society, (1995).
[9]	J. Bolte, S. Gaubert and G. Vigeral, Definable zero-sum stochastic games,, Mathematics of Operations Research, 40 (2014), 171. doi: 10.1287/moor.2014.0666.
[10]	R. Cavazos-Cadena and D. Hernández-Hernández, Poisson equations associated with a homogeneous and monotone function: necessary and sufficient conditions for a solution in a weakly convex case,, Nonlinear Anal., 72 (2010), 3303. doi: 10.1016/j.na.2009.12.010.
[11]	H. Everett, Recursive games,, in Contributions to the theory of games Vol. III, (1957), 47.
[12]	A. Fathi and A. Siconolfi, PDE aspects of Aubry-Mather theory for quasiconvex hamiltonians,, Calc. Var. Partial Differential Equations, 22 (2005), 185. doi: 10.1007/s00526-004-0271-z.
[13]	A. Fathi, The Weak KAM Theorem in Lagrangian Dynamics,, Cambridge Studies in Advanced Mathematics, (2014).
[14]	G. Gallo, G. Longo, S. Nguyen and S. Pallottino, Directed hypergraphs and applications,, Discrete Appl. Math., 42 (1993), 177. doi: 10.1016/0166-218X(93)90045-P.
[15]	S. Gaubert and J. Gunawardena, The Perron-Frobenius theorem for homogeneous, monotone functions,, Trans. Amer. Math. Soc., 356 (2004), 4931. doi: 10.1090/S0002-9947-04-03470-1.
[16]	O. Hernández-Lerma and J. B. Lasserre, Further Topics on Discrete-Time Markov Control Processes, vol. 42 of Applications of Mathematics (New York),, Springer-Verlag, (1999), 978. doi: 10.1007/978-1-4612-0561-6.
[17]	J. G. Kemeny and J. L. Snell, Finite Markov Chains,, Springer-Verlag, (1976).
[18]	E. Kohlberg and A. Neyman, Asymptotic behavior of nonexpansive mappings in normed linear spaces,, Israel J. Math., 38 (1981), 269. doi: 10.1007/BF02762772.
[19]	B. Lemmens and R. Nussbaum, Nonlinear Perron-Frobenius Theory,, Cambridge university Press, (2012). doi: 10.1017/CBO9781139026079.
[20]	J.-F. Mertens and A. Neyman, Stochastic games,, Internat. J. Game Theory, 10 (1981), 53. doi: 10.1007/BF01769259.
[21]	A. Neyman and S. Sorin, Stochastic Games and Applications, vol. 570 of Nato Science Series C,, Kluwer Academic Publishers, (2003). doi: 10.1007/978-94-010-0189-2.
[22]	R. D. Nussbaum, Hilbert's projective metric and iterated nonlinear maps,, Mem. Amer. Math. Soc., 75 (1988). doi: 10.1090/memo/0391.
[23]	R. D. Nussbaum, Iterated nonlinear maps and Hilbert's projective metric. II,, Mem. Amer. Math. Soc., 79 (1989). doi: 10.1090/memo/0401.
[24]	O. Ore, Galois connexions,, Trans. Amer. Math. Soc., 55 (1944), 493. doi: 10.1090/S0002-9947-1944-0010555-7.
[25]	J. Renault, Uniform value in dynamic programming,, Journal of the European Mathematical Society, 13 (2011), 309. doi: 10.4171/JEMS/254.
[26]	R. T. Rockafellar and R. J.-B. Wets, Variational Analysis,, Springer, (1998). doi: 10.1007/978-3-642-02431-3.
[27]	D. Rosenberg and S. Sorin, An operator approach to zero-sum repeated games,, Israel J. Math., 121 (2001), 221. doi: 10.1007/BF02802505.
[28]	S. Sorin, Asymptotic properties of monotonic nonexpansive mappings,, Discrete Event Dynamic Systems, 14 (2004), 109. doi: 10.1023/B:DISC.0000005011.93152.d8.
[29]	G. Vigeral, A zero-zum stochastic game with compact action sets and no asymptotic value,, Dyn. Games Appl., 3 (2013), 172. doi: 10.1007/s13235-013-0073-z.
[30]	P. Whittle, Optimization Over Time. Vol. II,, Wiley Series in Probability and Mathematical Statistics: Applied Probability and Statistics, (1983).
[31]	K. Yang and Q. Zhao, The balance problem of min-max systems is co-NP hard,, Systems & Control Letters, 53 (2004), 303. doi: 10.1016/j.sysconle.2004.05.009.

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