Parallel Algorithm for Approximating Nash Equilibrium in Multiplayer Stochastic Games with Application to Naval Strategic Planning

Abstract

Many real-world domains contain multiple agents behaving strategically with probabilistic transitions and uncertain (potentially infinite) duration. Such settings can be modeled as stochastic games. While algorithms have been developed for solving (i.e., computing a game-theoretic solution concept such as Nash equilibrium) two-player zero-sum stochastic games, research on algorithms for non-zero-sum and multiplayer stochastic games is limited. We present a new algorithm for these settings, which constitutes the first parallel algorithm for multiplayer stochastic games. We present experimental results on a 4-player stochastic game motivated by a naval strategic planning scenario, showing that our algorithm is able to quickly compute strategies constituting Nash equilibrium up to a very small degree of approximation error.