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Optimization and dynamical systems algorithms for finding equilibria of stochastic games. (English) Zbl 1154.91332

Summary: 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.

MSC:

91A15 Stochastic games, stochastic differential games
90C30 Nonlinear programming

Software:

PATH Solver; HOMPACK
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