Augmented Probability Simulation Methods for Sequential Games
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arXiv
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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2019
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| Subjects: | |
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| _version_ | 1866911780672897024 |
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| author | Ekin, Tahir Naveiro, Roi Torres-Barrán, Alberto Ríos-Insua, David |
| author_facet | Ekin, Tahir Naveiro, Roi Torres-Barrán, Alberto Ríos-Insua, David |
| contents | We present a robust framework with computational algorithms to support decision makers in sequential games. Our framework includes methods to solve games with complete information, assess the robustness of such solutions and, finally, approximate adversarial risk analysis solutions when lacking complete information. Existing simulation based approaches can be inefficient when dealing with large sets of feasible decisions; the game of interest may not even be solvable to the desired precision for continuous decisions. Hence, we provide a novel alternative solution method based on the use of augmented probability simulation. While the proposed framework conceptually applies to multi-stage sequential games, the discussion focuses on two-stage sequential defend-attack problems. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1910_04574 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Augmented Probability Simulation Methods for Sequential Games Ekin, Tahir Naveiro, Roi Torres-Barrán, Alberto Ríos-Insua, David Computation Computer Science and Game Theory We present a robust framework with computational algorithms to support decision makers in sequential games. Our framework includes methods to solve games with complete information, assess the robustness of such solutions and, finally, approximate adversarial risk analysis solutions when lacking complete information. Existing simulation based approaches can be inefficient when dealing with large sets of feasible decisions; the game of interest may not even be solvable to the desired precision for continuous decisions. Hence, we provide a novel alternative solution method based on the use of augmented probability simulation. While the proposed framework conceptually applies to multi-stage sequential games, the discussion focuses on two-stage sequential defend-attack problems. |
| title | Augmented Probability Simulation Methods for Sequential Games |
| topic | Computation Computer Science and Game Theory |
| url | https://arxiv.org/abs/1910.04574 |