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Relaxation algorithms to find Nash equilibria with economic applications
Abstract Recent theoretical studies have shown that a relaxation algorithm can be used to find noncooperative equilibria of synchronous infinite games with nonlinear payoff functions and coupled constraints. In this study, we introduce an improvement to the algorithm, such as the steepest-descent step-size control, for which the convergence of the algorithm is proved. The algorithm is then tested on several economic applications. In particular, a River Basin Pollution problem is considered where coupled environmental constraints are crucial for the relevant model definition. Numerical runs demonstrate fast convergence of the algorithm for a wide range of parameters.
Relaxation algorithms to find Nash equilibria with economic applications
Abstract Recent theoretical studies have shown that a relaxation algorithm can be used to find noncooperative equilibria of synchronous infinite games with nonlinear payoff functions and coupled constraints. In this study, we introduce an improvement to the algorithm, such as the steepest-descent step-size control, for which the convergence of the algorithm is proved. The algorithm is then tested on several economic applications. In particular, a River Basin Pollution problem is considered where coupled environmental constraints are crucial for the relevant model definition. Numerical runs demonstrate fast convergence of the algorithm for a wide range of parameters.
Relaxation algorithms to find Nash equilibria with economic applications
Krawczyk, Jacek B. (author) / Uryasev, Stanislav (author)
Environmental Modeling & Assessment ; 5 ; 63-73
2000-01-01
11 pages
Article (Journal)
Electronic Resource
English
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