Controlling the losing probability in a monotone game
Information Sciences: an International Journal
IEEE Transactions on Systems, Man, and Cybernetics, Part B: Cybernetics
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The design and analysis of an adaptive strategy for N-person averaged constrained stochastic repeated game are addressed. Each player is modeled by a stochastic variable-structure learning automaton. Some constraints are imposed on some functions of the probabilities governing the selection of the player's actions. After each stage, the payoff to each player as well as the constraints are random variables. No information concerning the parameters of the game is a priori available. The "diagonal concavity" conditions are assumed to be fulfilled to guarantee the existence and uniqueness of the Nash equilibrium. The suggested adaptive strategy which uses only the current realizations (outcomes and constraints) of the game is based on the Bush-Mosteller reinforcement scheme in connection with a normalization procedure. The Lagrange multipliers approach with a regularization is used. The asymptotic properties of this algorithm are analyzed. Simulation results illustrate the feasibility and the performance of this adaptive strategy.