Premium
Decentralized stochastic adaptive nash games
Author(s) -
Chan Y. M.,
Cruz J. B.
Publication year - 1983
Publication title -
optimal control applications and methods
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.458
H-Index - 44
eISSN - 1099-1514
pISSN - 0143-2087
DOI - 10.1002/oca.4660040206
Subject(s) - nash equilibrium , extension (predicate logic) , constraint (computer aided design) , mathematical optimization , computer science , best response , game theory , stochastic optimization , mathematical economics , mathematics , geometry , programming language
The optimization of stochastic systems with unknown parameters and multiple decision‐makers or controllers each having his own objective is considered. Two explicit self‐tuning type algorithms are proposed for decentralized stochastic adaptive Nash games under the ‘one‐step‐delay sharing pattern’. The first algorithm is an ad hoc constraint on the policy form, whereas the second one is based on an extension from static Nash game theory. Simulation results on a simplified economic system indicate that these algorithms are capable of stabilizing a system along targeted paths.