RT Conference Proceedings
T1 A policy iteration algorithm for nonzero-sum stochastic impulse games
A1 Aïd, René
A1 Bernal Martínez, Francisco Manuel
A1 Mnif, Mohamed
A1 Zabaljauregui, Diego
A1 Zubelli, Jorge P.
AB 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.
PB EDP Science
SN 2267-3059
YR 2019
FD 2019-02
LK https://hdl.handle.net/10016/32094
UL https://hdl.handle.net/10016/32094
LA eng
NO 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
NO 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).
DS e-Archivo
RD 17 jul. 2024