Krawczyk, Jacek B. and Azzato, Jeffrey D. (2006): A report on NISOCSol: An algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints.
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In this report, we outline a method for approximating a Markovian (or feedback-Nash) equilibrium of a dynamic game, possibly subject to coupled-constraints. We treat such a game as a "multiple" optimal control problem. A method for approximating a solution to a given optimal control problem via backward induction on Markov chains was developed in [Kra01]. A Markovian equilibrium may be obtained numerically by adapting this backward induction approach to a stage Nikaido-Isoda function (described in [KZ06]).
|Item Type:||MPRA Paper|
|Institution:||Victoria University of Wellington|
|Original Title:||A report on NISOCSol: An algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints|
|Keywords:||Computational techniques; Noncooperative games; Econometric software; Taxation; Water; Climate; Dynamic programming; Dynamic games; Applications of game theory; Environmental economics; Computational economics; Nikaido-Isoda function; Approximating Markov decision chains|
|Subjects:||C - Mathematical and Quantitative Methods > C8 - Data Collection and Data Estimation Methodology ; Computer Programs > C87 - Econometric Software
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63 - Computational Techniques ; Simulation Modeling
Q - Agricultural and Natural Resource Economics ; Environmental and Ecological Economics > Q2 - Renewable Resources and Conservation > Q25 - Water
C - Mathematical and Quantitative Methods > C7 - Game Theory and Bargaining Theory > C72 - Noncooperative Games
E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E62 - Fiscal Policy
|Depositing User:||Jeffrey Azzato|
|Date Deposited:||30. Aug 2008 08:36|
|Last Modified:||25. Feb 2013 19:28|
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NISOCSol an algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints. (deposited 16. Dec 2006)
- A report on NISOCSol: An algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints. (deposited 30. Aug 2008 08:36) [Currently Displayed]