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

Jacek Krawczyk () and Jeffrey Azzato

MPRA Paper from University Library of Munich, Germany

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)).

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 (search for similar items in EconPapers)
JEL-codes: C87 C63 Q25 C72 E62 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cmp, nep-env and nep-gth
Date: 2006
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http://mpra.ub.uni-muenchen.de/10235/ revised version (application/pdf)

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Persistent link: http://EconPapers.repec.org/RePEc:pra:mprapa:1195

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