Computing Equilibria in Multiplayer Stochastic Games of Imperfect Information

Computing a Nash equilibrium in multiplayer stochastic games is a notoriously difficult problem. Prior algorithms have been proven to converge in extremely limited settings and have only been tested on small problems. In contrast, we recently presented an algorithm for computing approximate jam/fold equilibrium strategies in a three-player nolimit Texas hold’em tournament—a very large realworld stochastic game of imperfect information [5]. In this paper we show that it is possible for that algorithm to converge to a non-equilibrium strategy profile. However, we develop an ex post procedure
that determines exactly how much each player can gain by deviating from his strategy and confirm thatnthe strategies computed in that paper actually do
constitute an equilibrium for a very small (0.5% of the tournament entry fee). Next, we develop several new algorithms for computing a Nash equilibrium in multiplayer stochastic games (with perfect or imperfect information) which can provably never converge to a non-equilibrium. Experiments show
that one of these algorithms outperforms the original algorithm on the same poker tournament. In short, we present the first algorithms for provably
computing an equilibrium of a large stochastic game for small. Finally, we present an efficient algorithm that minimizes external regret in both the perfect and imperfect information cases.