Stochastic Potential Games (2005.13527v2)

Abstract: Computing the Nash equilibrium (NE) for N-player non-zerosum stochastic games is a formidable challenge. Currently, algorithmic methods in stochastic game theory are unable to compute NE for stochastic games (SGs) for settings in all but extreme cases in which the players either play as a team or have diametrically opposed objectives in a two-player setting. This greatly impedes the application of the SG framework to numerous problems within economics and practical systems of interest. In this paper, we provide a method of computing Nash equilibria in nonzero-sum settings and for populations of players more than two. In particular, we identify a subset of SGs known as stochastic potential games (SPGs) for which the (Markov perfect) Nash equilibrium can be computed tractably and in polynomial time. Unlike SGs for which, in general, computing the NE is PSPACE-hard, we show that SGs with the potential property are P-Complete. We further demonstrate that for each SPG there is a dual Markov decision process whose solution coincides with the MP-NE of the SPG. We lastly provide algorithms that tractably compute the MP-NE for SGs with more than two players.