A policy iteration algorithm for nonzero-sum stochastic impulse games

e-Archivo Repository

Show simple item record

dc.contributor.author Aïd, René
dc.contributor.author Bernal Martínez, Francisco Manuel
dc.contributor.author Mnif, Mohamed
dc.contributor.author Zabaljauregui, Diego
dc.contributor.author Zubelli, Jorge P.
dc.date.accessioned 2021-03-10T13:10:38Z
dc.date.available 2021-03-10T13:10:38Z
dc.date.issued 2019-02
dc.identifier.bibliographicCitation ESAIM: Proceedings and Surveys, vol. 65, Feb. 2019 (CEMRACS 2017, Numerical methods for stochastic models: control, uncertainty quantification, mean-field, Marseille, France, July 17 - August 25, 2017) Pp. 27-45
dc.identifier.issn 2267-3059
dc.identifier.uri http://hdl.handle.net/10016/32094
dc.description Research work conducted during the 22nd edition of CEMRACS, Numerical methods for stochastic models: control, uncertainty quantification, mean-field, July 17 - August 25, CIRM, Marseille
dc.description.abstract This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving such problems, there are no suitable numerical methods available, to the best of our knowledge. Our method relies on the recently introduced characterisation of the value functions and Nash equilibrium via a system of quasi-variational inequalities. While our algorithm is heuristic and we do not provide a convergence analysis, numerical tests show that it performs convincingly in a wide range of situations, including the only analytically solvable example available in the literature at the time of writing.
dc.description.sponsorship JPZ was supported by CNPq, FAPERJ, and the Brazilian-French network in Mathematics.FB gratefully acknowledges support from the Finance for Energy Market Research Centre (FiME).
dc.format.extent 19
dc.language.iso eng
dc.publisher EDP Science
dc.rights © EDP Sciences, SMAI 2019.
dc.rights This is an Open Access article distributed under the terms of the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
dc.rights Atribución 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by/3.0/es/
dc.subject.other Stochastic impulse game
dc.subject.other Nonzero-sum game
dc.subject.other Nash equilibrium
dc.subject.other Policy iteration
dc.subject.other Howard's algorithm
dc.subject.other Quasi-variational inequality
dc.title A policy iteration algorithm for nonzero-sum stochastic impulse games
dc.type article
dc.type conferenceObject
dc.subject.eciencia Matemáticas
dc.identifier.doi https://doi.org/10.1051/proc/201965027
dc.rights.accessRights openAccess
dc.type.version publishedVersion
dc.relation.eventdate 2017-07-17
dc.relation.eventplace Marsella, FRANCIA
dc.relation.eventtitle CEMRACS 2017: Numerical methods for stochastic models: control, uncertainty quantification, mean-field
dc.relation.eventtype proceeding
dc.identifier.publicationfirstpage 27
dc.identifier.publicationlastpage 45
dc.identifier.publicationtitle ESAIM: Proceedings and Surveys: CEMRACS 2017, Numerical methods for stochastic models: control, uncertainty quantification, mean-field, Marseille, France, July 17 - August 25, 2017
dc.identifier.publicationvolume 65
dc.identifier.uxxi CC/0000031977
 Find Full text

Files in this item

*Click on file's image for preview. (Embargoed files's preview is not supported)


The following license files are associated with this item:

This item appears in the following Collection(s)

Show simple item record