NISOCSol an algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints
AbstractIn 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 1195.
Date of creation: 2006
Date of revision:
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;
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; Programming Models; Mathematical and Simulation Modeling - - - 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
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-01-14 (All new papers)
- NEP-CMP-2007-01-14 (Computational Economics)
- NEP-ENV-2007-01-14 (Environmental Economics)
- NEP-GTH-2007-01-14 (Game Theory)
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.:
- 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.
- Steffan Berridge & Jacek Krawczyk, .
"Relaxation Algorithms in Finding Nash Equilibrium,"
Computing in Economics and Finance 1997
159, Society for Computational Economics.
- 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.
- 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.
- Krawczyk, Jacek B., 2005. "Coupled constraint Nash equilibria in environmental games," Resource and Energy Economics, Elsevier, vol. 27(2), pages 157-181, June.
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