A Study of Gradient Descent Schemes for General-Sum Stochastic Games

Abstract

Zero-sum stochastic games are easy to solve as they can be cast as simple Markov decision processes. This is however not the case with general-sum stochastic games. A fairly general optimization problem formulation is available for general-sum stochastic games by Filar and Vrieze [2004]. However, the optimization problem there has a non-linear objective and non-linear constraints with special structure. Since gradients of both the objective as well as constraints of this optimization problem are well defined, gradient based schemes seem to be a natural choice. We discuss a gradient scheme tuned for two-player stochastic games. We show in simulations that this scheme indeed converges to a Nash equilibrium, for a simple terrain exploration problem modelled as a general-sum stochastic game. However, it turns out that only global minima of the optimization problem correspond to Nash equilibria of the underlying general-sum stochastic game, while gradient schemes only guarantee convergence to local minima. We then provide important necessary conditions for gradient schemes to converge to Nash equilibria in general-sum stochastic games.