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A numerical algorithm to find soft-constrained Nash equilibria in scalar LQ-games

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Author Info
Engwerda, Jacob (Tilburg University, Center for Economic Research)

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Abstract

In this paper we provide a numerical algorithm to calculate all soft-constrained Nash equilibria in a regular scalar indefinite linear-quadratic game. The algorithm is based on the calculation of the eigenstructure of a certain matrix. The analysis follows the lines of the approach taken by Engwerda in [7] to calculate the solutions of a set of scalar coupled feedback Nash algebraic Riccati equations.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 33.

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Date of creation: 2005
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Handle: RePEc:dgr:kubcen:200533

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Find related papers by JEL classification:
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hansen, Lars Peter & Sargent, Thomas J & Tallarini, Thomas D, Jr, 1999. "Robust Permanent Income and Pricing," Review of Economic Studies, Blackwell Publishing, vol. 66(4), pages 873-907, October. [Downloadable!] (restricted)
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  2. Engwerda, J.C., 1999. "The solution set of the n-player scalar feedback nash algebraic riccati equations," Discussion Paper 90, Tilburg University, Center for Economic Research. [Downloadable!]
  3. Engwerda, J.C. & Aarle, B. van & Plasmans, J.E.J., 1998. "Fiscal policy interaction in the EMU," Discussion Paper 113, Tilburg University, Center for Economic Research. [Downloadable!]
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  1. Engwerda, Jacob, 2006. "Algorithms for computing Nash equilibria in deterministic LQ games," Discussion Paper 109, Tilburg University, Center for Economic Research. [Downloadable!]
    Other versions:
  2. Engwerda, Jacob, 2006. "Linear quadratic games : an overview," Discussion Paper 110, Tilburg University, Center for Economic Research. [Downloadable!]
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This page was last updated on 2009-11-25.

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