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NISOCSol an algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints

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  • Krawczyk, Jacek
  • Azzato, Jeffrey

Abstract

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 Krawczyk (2006). A Markovian equilibrium may be obtained numerically by adapting this backward induction approach to a stage Nikaido-Isoda function (described in Krawczyk & Zuccollo (2006)).

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File URL: http://mpra.ub.uni-muenchen.de/10235/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1195.

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Date of creation: 2006
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Handle: RePEc:pra:mprapa:1195

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Related research

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;

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  1. Jacek B. Krawczyk & Steffan Berridge, 1997. "Relaxation Algorithms in Finding Nash Equilibria," Computational Economics, EconWPA 9707002, EconWPA.
  2. Krawczyk, Jacek B., 2005. "Coupled constraint Nash equilibria in environmental games," Resource and Energy Economics, Elsevier, Elsevier, vol. 27(2), pages 157-181, June.
  3. Krawczyk, Jacek & Zuccollo, James, 2006. "NIRA-3: An improved MATLAB package for finding Nash equilibria in infinite games," MPRA Paper 1119, University Library of Munich, Germany.
  4. Alistair Windsor & Jacek B. Krawczyk, 1997. "A Matlab Package for Approximating the Solution to a Continuous- Time Stochastic Optimal Control Problem," Computational Economics, EconWPA 9710002, EconWPA.
  5. Azzato, Jeffrey & Krawczyk, Jacek, 2006. "SOCSol4L An improved MATLAB package for approximating the solution to a continuous-time stochastic optimal control problem," MPRA Paper 1179, University Library of Munich, Germany.
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