Relaxation algorithms to find Nash equilibria with economic applications

被引:156
作者
Krawczyk, JB
Uryasev, S
机构
[1] Victoria Univ Wellington, Commerce & Adm Fac, Wellington, New Zealand
[2] Univ Florida, Dept Ind & Syst Engn, Gainesville, FL 32611 USA
关键词
computational economics; Nash equilibrium; coupled constraints; relaxation algorithm;
D O I
10.1023/A:1019097208499
中图分类号
X [环境科学、安全科学];
学科分类号
08 ; 0830 ;
摘要
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.
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页码:63 / 73
页数:11
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