The court is part of the luxurious Burj al Arab hotel, where the suites start at a cut-rate $1277 US per night. (Children stay free.) When not doubling as a tennis court, the platform serves as a helicopter pad.
Video below. The aerial shots at 3:30 are pretty cool, and at 4:30 Agassi wallops one off the deck and tries to land it in a nearby boat.
(Hat tip: Gawker TV)