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

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  • Engwerda, J.C.

    (Tilburg University)

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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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-142827.

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Date of creation: 2004
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Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-142827

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Web page: http://www.tilburguniversity.edu/

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  1. Engwerda, J.C. & Aarle, B. van & Plasmans, J.E.J., 1998. "Fiscal Policy Interaction in the EMU," Discussion Paper 1998-113, Tilburg University, Center for Economic Research.
  2. Engwerda, J.C., 2000. "The solution set of the N-player scalar feedback Nash algebraic Riccati equations," Open Access publications from Tilburg University urn:nbn:nl:ui:12-85060, Tilburg University.
  3. Broek, W.A. van den & Engwerda, J.C. & Schumacher, J.M., 2003. "Robust equilibria in indefinite linear-quadratic differential games," Open Access publications from Tilburg University urn:nbn:nl:ui:12-123066, Tilburg University.
  4. Aarle, B. van & Engwerda, J.C. & Plasmans, J.E.J., 2001. "Monetary and Fiscal Policy Interaction in the EMU: A Dynamic Game Approach," Open Access publications from Tilburg University urn:nbn:nl:ui:12-88307, Tilburg University.
  5. Hansen, Lars Peter & Sargent, Thomas J & Tallarini, Thomas D, Jr, 1999. "Robust Permanent Income and Pricing," Review of Economic Studies, Wiley Blackwell, vol. 66(4), pages 873-907, October.
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Cited by:
  1. Engwerda, J.C., 2006. "Algorithms for Computing Nash Equilibria in Deterministic LQ Games," Discussion Paper 2006-109, Tilburg University, Center for Economic Research.
  2. Engwerda, J.C., 2006. "Linear Quadratic Games: An Overview," Discussion Paper 2006-110, Tilburg University, Center for Economic Research.

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