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arXiv 1310.2648cs.GT
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重复随机对策的李雅普诺夫优化方法

A Lyapunov Optimization Approach to Repeated Stochastic Games

Michael J. Neely

摘要:

本文研究了一个时变对策,其中有$N$参与者。每个时间段,玩家观察自己的随机事件,然后采取控制行动。事件和控制动作影响每个玩家获得的个人效用。我们的目标是最大化的时间平均效用的均衡约束下的凹函数。具体来说,参与的玩家可以访问一个共同的随机性来源,他们可以最佳地关联他们的决定。均衡约束通过确保参与者如果选择不参与就不能获得更多效用来激励参与。这种形式的均衡类似于纳什均衡和相关均衡的概念,但更容易实现。一个李雅普诺夫方法,解决了这个问题的在线\emph{max-weight}的时尚选择行动的基础上,一组随时间变化的权重。该算法不需要事件概率的知识,并具有多项式收敛时间。一个类似的方法可以用来计算一个标准的相关均衡,虽然增加了复杂性。

英文摘要:

This paper considers a time-varying game with $N$ players. Every time slot, players observe their own random events and then take a control action. The events and control actions affect the individual utilities earned by each player. The goal is to maximize a concave function of time average utilities subject to equilibrium constraints. Specifically, participating players are provided access to a common source of randomness from which they can optimally correlate their decisions. The equilibrium constraints incentivize participation by ensuring that players cannot earn more utility if they choose not to participate. This form of equilibrium is similar to the notions of Nash equilibrium and correlated equilibrium, but is simpler to attain. A Lyapunov method is developed that solves the problem in an online \emph{max-weight} fashion by selecting actions based on a set of time-varying weights. The algorithm does not require knowledge of the event probabilities and has polynomial convergence time. A similar method can be used to compute a standard correlated equilibrium, albeit with increased complexity.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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