A Report on NISOCSol: an Algorithm For Approximating Markovian Equlibria in Dynamic Games with Coupled-Constraints
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Date
2006
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Te Herenga Waka—Victoria University of Wellington
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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Keywords
Nikaido-Isoda function, Computational economics, Dynamic games, Climate, Taxation, Water, Markov decision chains, Econometric software, Dynamic programming, Noncooperative games, Computational techniques, Applications of game theory, Environmental economics