Mathematics > Optimization and Control
[Submitted on 15 Mar 2018 (v1), last revised 11 Feb 2019 (this version, v3)]
Title:A policy iteration algorithm for nonzero-sum stochastic impulse games
View PDFAbstract: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 characterization 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.
Submission history
From: Diego Zabaljauregui [view email][v1] Thu, 15 Mar 2018 16:08:51 UTC (478 KB)
[v2] Thu, 22 Nov 2018 13:40:48 UTC (477 KB)
[v3] Mon, 11 Feb 2019 14:09:42 UTC (452 KB)
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