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A report on NISOCSol: An algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints

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Author Info
Krawczyk, Jacek B.
Azzato, Jeffrey D.

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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 [Kra01]. A Markovian equilibrium may be obtained numerically by adapting this backward induction approach to a stage Nikaido-Isoda function (described in [KZ06]).

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File URL: http://mpra.ub.uni-muenchen.de/10235/
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 1195.

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Date of creation: Dec 2006
Date of revision: Aug 2008
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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Find related papers by JEL classification:
C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
C63 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming - - - Computational Techniques
Q25 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Renewable Resources and Conservation - - - Water
C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
E62 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Fiscal Policy

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  1. Azzato, Jeffrey D. & Krawczyk, Jacek B., 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. [Downloadable!]
  2. Alistair Windsor & Jacek B. Krawczyk, 1997. "A Matlab Package for Approximating the Solution to a Continuous- Time Stochastic Optimal Control Problem," Computational Economics 9710002, EconWPA. [Downloadable!]
  3. Krawczyk, Jacek B., 2005. "Coupled constraint Nash equilibria in environmental games," Resource and Energy Economics, Elsevier, vol. 27(2), pages 157-181, June. [Downloadable!] (restricted)
  4. 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. [Downloadable!]
  5. Jacek B. Krawczyk & Steffan Berridge, 1997. "Relaxation Algorithms in Finding Nash Equilibria," Computational Economics 9707002, EconWPA. [Downloadable!]
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