Optimization and dynamical systems algorithms for finding equilibria of stochastic games

Authors:
Arun Sen;David F. Shanno
Affiliations:
NERA Economic Consultants, New York, NY, USA;RUTCOR, Rutgers University, Piscataway, NJ, USA
Venue:
Optimization Methods & Software
Year:
2008

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Abstract

We present two new algorithms for computing Nash equilibria of stochastic games. One is a global random start algorithm based on nonlinear programming, while the other combines a dynamical system with nonlinear programming to find stable equilibria. Promising numerical results are presented.