Hyperbolicity of Systems Describing Value Functions in Differential Games which Model Duopoly Problems. Joanna Zwierzchowska
|
|
- May Harper
- 5 years ago
- Views:
Transcription
1 Decision Making in Manufacturing and Services Vol No. pp Hyperbolicity of Systems Describing Value Functions in Differential Games which Model Duopoly Problems Joanna Zwierzchowska Abstract. Based on the Bressan and Shen approach Bressan and Shen, 004; Shen, 009, we present an extension of the class of non-zero sum differential games for which value functions are described by a weakly hyperbolic Hamilton Jacobi system. The considered value functions are determined by a Pareto optimality condition for instantaneous gain functions, for which we compare two methods of the unique choice Pareto optimal strategies. We present the procedure of applying this approach for duopoly. Keywords: duopoly models, semi-cooperative feedback strategies, Pareto optimality, hyperbolic partial differential equations Mathematics Subject Classification: 9A, 49N70, 49N90, 5L65 Revised: February, 05. INTRODUCTION Dynamic models describe situations in which two or more players make their decisions about their own behavior under the same circumstances. In this paper, we shall consider games with a finite duration of time. We shall be interested in solving theoretical maximizing problems that can be applied to finding better strategies in models of duopoly. Our effort is focused on finding a better solution than the Nash equilibrium. On the one hand, we want the solution to provide greater payoffs for both players, but also we want to obtain a well-posed system of PDEs describing value functions. We assume that the evolution of state is described by the following differential equation: ẋ = fx + φxu + ψxu with initial data: xτ = y R m Nicolaus Copernicus University in Torun, Faculty of Mathematics and Computer Sciences, Torun, Poland, joanna.zwierzchowska@mat.umk.pl DOI: 89
2 90 J. Zwierzchowska where f : R m R m, φ, ψ : R m M m n R and u i are feedback strategies they depend on time t and state xt, i =,. The goal of the i-th player is to maximize his payoff function; i.e., where and J i τ, y, u, u = g i xt T τ h i xt, u i tdt a terminal payoff g i : R m R is a non negative and smooth function 4 a running cost h i : R m R n R is a smooth function such that h i x, is strictly convex for every x R m 5 We consider the instantaneous gain functions: Y x, p, p, u, u = p F x, u, u h x, u Y x, p, p, u, u = p F x, u, u h x, u 6 where F x, u, u is the right side of the dynamic and the dot denotes the scalar product in, we have F x, u, u = fx+φxu +ψxu. Fixing x, p, p R m and s > 0, we can find Pareto optimal choices Ui P x, p, p, s for the static game Y i x, p, p,,, i =,, in the following way: if u P, u P is the maximum of the combined payoff Y s = sy +Y, then the strategies u P, u P give Pareto optimal payoffs in game Y, Y. As a result, strategies Ui P depend on s. We choose a smooth function sx, p, p and define feedback strategies Ui sx, p, p = Ui P x, p, p, sx, p, p for the problem. Such strategies are called semi-cooperative Bressan and Shen, 004. If functions: Vi s τ, y = J i τ, y, U s, U s are smooth enough, then they satisfy the following system: { V,t + H x, x V, x V = 0 with the terminal data: V,t + H x, x V, x V = 0 V T, x = g x and V T, x = g x 8 where the Hamiltonian functions are given by: H i x, p, p = Y i x, p, p, U s x, p, p, U s x, p, p and they depend on s. Functions V s i are usually called the value functions. We say that u P, up is a pair of Pareto optimal choices for the game, which is given by payoff functions Y i u, u i =,, if there exists no pair u, u such that Y u, u > Y u P, up and Y u, u > Y u P, up. This means that no pair of admissible strategies exists that improve both payoffs simultaneously. 7
3 Hyperbolicity of Systems Describing Value Functions... 9 In Section, we shall prove that system 7 is weakly hyperbolic and is hyperbolic except for some curves on the p, p -plane see Theorem.. If the system is hyperbolic, then it is well-posed and this fact is crucial for numerical solutions for more details, see Serre, 000. This result is a generalization of Theorem from Bressan and Shen, 004. In that paper, it is shown that, if we consider the dynamic: ẋ = fx + u + u, 9 then system 7 is weakly hyperbolic and is hyperbolic except some curves on the p, p -plane. In Section, we compare two methods of stating a Pareto optimum for functionals Y, Y. In both cases, the referential point is a Nash equilibrium payoff Y N, Y N, and we require Pareto optimal outcomes to be greater than those for the Nash equilibrium: Y P i Y N i for i =, Obviously, the above criterion does not determine Pareto optimal strategies uniquely. Bressan and Shen 004 receive the uniqueness of Pareto optimal choices by using the following condition: Y P Y N = Y P Y N The second criterion of choosing Pareto optimal strategies is based on the concept of the Nash solution to the bargaining problem see Nash, 950. The pair Ỹ P, Ỹ P is such a solution if: Ỹ P Y N Ỹ P Y N Y P Y N Y P Y N for every Y P, Y P. The above condition can be reformulated using function s: sx, p, p = arg max {Y P s Y N Y P s Y N } s>0 The main advantage of the second approach is that, considering the dynamics such as the Lanchester duopoly model used in Chintagunta and Vilcassim, 99 and Wang and Wu, 00 in which the dynamic is given by the equation: ẋ = u x u x 0 and the duopoly model from Bressan and Shen, 004 given by the formula: ẋ = x xu u it is possible to compute function s analytically, as we shall study in Section, and determine the system 7 effectively. In view of Theorem., the obtained systems are hyperbolic except for some curves on the p, p -plane. A natural consequence of the above result should be solving numerically received systems and using them to construct semi-cooperative strategies for empirical examples of a duopoly. Unfortunately, we have no ready algorithms for such problems at the moment. Although, the situation seems not to be hopeless. Hamilton Jacobi systems
4 9 J. Zwierzchowska can be transformed into systems of conservation laws, and for such problems, there exist numerical algorithms. For now, a numerical solvability will not be the subject of this paper. The Nash equilibrium is the most common approach to the problem of maximizing payoff for the dynamic given by and. As Bressan and Shen 004 show, in general, such an approach leads to unstable systems of partial differential equations. Therefore, we shall use a Pareto optimality condition. Moreover, our result is not only a theoretical generalization of the Bressan and Shen dynamic, because 9 is not sufficient for empirical research. Let us notice that duopoly models 0 and are not of the 9 form, but they are of the form.. PARETO OPTIMAL CHOICES THE MAIN RESULT First, we recall the basic definitions and facts concerning the hyperbolicity of linear and nonlinear systems of PDEs. One can find details in Bressan and Shen, 004; Serre, 000. We consider a linear system on R m with constant coefficients: V t + m A α V xα = 0 α= where t is time, x R m, V : R R m R k. Let us notice that k corresponds to the number of players in a game and m is the dimension of the state space. We define the linear combination: m Aξ = ξ α A α where ξ R m. Definition.. System is hyperbolic if there exists a constant C such that where: α= sup exp iaξ C ξ IR m exp iaξ = iaξ n Definition.. System is weakly hyperbolic, if for every ξ R m, the matrix Aξ has k real eigenvalues λ ξ,..., λ k ξ. n=0 In Bressan and Shen, 004, it is shown that the initial value problem for system is well-posed in L R m if and only if the system is hyperbolic. We have the following necessary condition of hyperbolicity. Lemma.. If system is hyperbolic, then it is weakly hyperbolic. n!
5 Hyperbolicity of Systems Describing Value Functions... 9 The next result refers to the one-dimensional case, when system takes the form: V t + AV x = 0 Lemma.. System is hyperbolic if and only if the matrix A admits a basis of real eigenvectors. It is also easy to see that the following statement is true. Remark. Let A M R. The matrix A has two real eigenvalues if and only if A A + 4A A 0. Moreover, if A A + 4A A > 0, then the eigenvectors span the space R. In view of Lemma., it is reasonable to check the weak hyperbolicity in the first place. We mainly receive nonlinear systems, so it is necessary to understand what the hyperbolicity means in this case. Consider the system of Hamilton Jacobi equations: V i t + H i x, V x,..., V k x = 0 i =,..., k 4 The linearization of 4 takes the following form: V i t + [ ] Hi x, p, p,..., p k V j = 0 p j,α jα x α i =,..., k 5 where x, p, p,..., p k R +km and p i = V i x. If we denote: then equations 5 are of the form. A α ij := H i p jα x, p, p,..., p k 6 Definition.. The nonlinear system 4 is hyperbolic weakly hyperbolic on the domain Ω R +km, if for every x, p, p,..., p k Ω its linearisation 5 is hyperbolic weakly hyperbolic. Due to the fact that we are interested in solving empirical problems in a duopoly and applying numerical methods, we need to know that our systems have a unique solution, and this solution s behavior changes continuously with the initial conditions. For this reason, hyperbolicity is crucial. Our aim is to study the hyperbolicity of a system of Hamilton Jacobi equations describing value functions generated by a Pareto optimality condition for instantaneous gain functions. The evolution of the state is described by with the initial data given by. The goal of the i-th player i =, is to maximize his payoff function, where g i and h i satisfy the assumptions 4, 5. We shall consider instantaneous gain functions: Y x, p, p, u, u = p fx + φxu + ψxu h x, u Y x, p, p, u, u = p fx + φxu + ψxu h x, u
6 94 J. Zwierzchowska Fixing x, p, p R m and s > 0, we can find Pareto optimal choices Ui P x, p, p, s for static game Y i x, p, p,,, i =,, in the following way: if u P, u P is the maximum of function Y s = sy + Y, then strategies u P, u P give Pareto optimal payoffs in game Y, Y. This is the reason why strategies Ui P depend on s. We choose a smooth function sx, p, p and define the semi-cooperative feedback strategies: U s i x, p, p = U P i x, p, p, sx, p, p i =, 7 We define the Hamiltonian functions as follows: H x, p, p = Y x, p, p, U s x, p, p, U s x, p, p If value functions: H x, p, p = Y x, p, p, U s x, p, p, U s x, p, p V s i τ, y = J i τ, y, U s, U s i =, are smooth, then they satisfy the system of Hamilton Jacobi equations: { V,t + H x, x V, x V = 0 V,t + H x, x V, x V = 0 8 Theorem.. Consider problem 5. As gradients p, p of the value functions range in open region Ω R m, assume that the players adopt Pareto optimal strategies of form 7 for some smooth function s = sx, p, p. Then, system 8 is weakly hyperbolic on domain Ω. Moreover, if we consider one-dimension case m =, system 8 is hyperbolic except for some curves on the p, p -plane. The method of proof is similar to the proof of Theorem in Bressan and Shen, 004. Proof. We define functions k i : R m R n i =, as follows: and: k ξ = k ξ, v, x = arg max ω R n{ξfx + φxω + ψxv h x, ω} k ξ = k ξ, v, x = arg max ω R n{ξfx + φxv + ψxω h x, ω} where x R m and v R n. Since h, h are smooth functions that satisfy 5, one can observe that h u x, k ξ = ξφx and h u x, k ξ = ξψx 9 We seek Pareto optimal choices by maximizing function Y s = sy + Y. In view of 9, we can formulate Pareto optimal strategies using functions k and k : u P x, p, p, s = k p + p s and up x, p, p, s = k sp + p 0
7 Hyperbolicity of Systems Describing Value Functions The necessary condition for a local maximum implies that: Denoting: s Y u + Y u = s Y u + Y u = 0 Y P i = Y i x, p, p, u P x, p, p, s, u P x, p, p, s i =, and recalling, we obtain the following equality: Y P = s Y P Now, we compute the linearization of system 8. From 0, we get: Y P = p fx + φxk p + p + ψxk sp + p h x, k p + p s s Y P = p fx + φxk p + p + ψxk sp + p h x, k sp + p s To clarify further computations, let us temporarily assume that m = n = and that s = const. The linearization takes the following form: [ f + φk + ψk + p φk + sψk h k p s φk + ψk s h k ] p φk + sψk sh k f + φk + ψk + p s φk + ψk h k where: h = h u and h = h u Let a := ψp k s φp k. We can write matrix as follows: where: [ ] f + φk + ψk A := + sa a s = f + φk a f + φk + ψk sa + ψk I + A I = [ ] 0 0 and A = [ ] sa a s a sa In view of Remark, it is obvious that A is weakly hyperbolic. Now let s = sx, p, p. In this situation, the linearization matrix is the following: A = f + φk + ψk I + A + A where: A = Y P Y P p p Y P Y P p p
8 96 J. Zwierzchowska Using and denoting c := Y P p, d := Y P A = [ ] c d sc sd p, we obtain: From Remark, it is easy to verify that matrix A has two real eigenvalues: λ = f + φk + ψk and λ = f + φk + ψk + c sd; thus, the system is weakly hyperbolic. Furthermore, the system is hyperbolic when c sd and p i 0 for i =,. Now let m, n N. We need to verify if matrix: Aξ = is weakly hyperbolic where, as in 6, A α = m ξ α A α α= [ ] Hi x, p, p p jα i,j= Repeating the reasoning for α s coordinate of p and p, we receive: A α = f α + φk α + ψk α I + A α + A α where: [ ] [ ] A saα a α = α, A cα d sa α sa α = α α sc α sd α and a α = ψdk p α s φdk p α, c α = Y P that matrix Aξ has the following form: Aξ = p α, d α = Y P m ξ α A α = ξ f + ξ φk + ξ ψk I + A ξ + A ξ α= p α. This means where: A ξ = [ ] [ ] ξ sa ξ a ξ s, A ξ c ξ d ξ = a ξ sa ξ sc ξ sd Matrix Aξ has the two real eigenvalues: λ ξ = ξ f + φk + ψk and λ ξ = ξ f + φk + ψk + c sd. Remark. If s is constant, then our problem becomes a cooperative game, and there is no guarantee that Pareto optimal payoffs dominate Nash payoffs. Such dominance is crucial for our considerations, because we want to improve outcomes in a reasonable way.
9 Hyperbolicity of Systems Describing Value Functions THE UNIQUENESS OF THE PARETO OPTIMAL CHOICES The choice of Pareto optimal strategies is a very important issue. Since Pareto optimal outcomes are not unique, we present two meaningfully different criteria. In this section, we compare the Bressan and Shen criterion 004 with the criterion proposed by us, which is based on the Nash solution to the bargaining problem. Finally, we determine Pareto optimal solutions for two duopoly models. Bressan and Shen formulate the choice of s basing on the fairness conditions: and: Yi P s > Yi N for i =, 4 Y P s Y N = Y P s Y N 5 Condition 4 is necessary to receive better outcomes than the Nash equilibrium ones, and it is essential to convince players to use a Pareto optimal approach. Unfortunately, conditions 4, 5 are not easy to apply in the examples. Accordingly, we suggest using the Nash solution to the bargaining problem. Firstly, the choice should not make the payoffs worse: Yi P s Yi N for i =, 6 Pair Ỹ P, Ỹ P is the Nash solution to the bargaining problem if: Ỹ P Y N Ỹ P Y N Y P Y N Y P Y N for every Y P, Y P In the examples, we use the following reformulated form: sx, p, p = arg max {Y P s Y N Y P s Y N } 7 s>0 If the intersection of the image of function Y = Y, Y and set {y, y : y i Y N i, i =, } is convex, then conditions 6, 7 provide the unique s. We compare these two approaches for two dynamics, the Lanchester duopoly model: and the duopoly model from Bressan and Shen, 004: ẋ = u x u x 8 ẋ = x xu u 9 In both cases, state x [0, ] characterizes the market share. We shall use the following payoff function: T [ J i τ, y, u, u = x i T + x i t ] τ u i t dt 0 where x t = xt is the market share of the first company at time t [τ, T ], while x t = xt is the market share of the second. Both methods require comparing new values with Nash equilibrium payoffs Y N, Y N the instantaneous gain functions
10 98 J. Zwierzchowska for Nash equilibrium strategies u N, u N. The strategies can be found from the following conditions: Y Y = 0 and = 0 u u Example Let us consider the Lanchester duopoly model, which is given by 8, with the payoff function 0. The instantaneous gain functions take form: Y i x, p, p, u, u = p i u x u x + x i u i i =, where x = x and x = x. Using, we obtain that u N = p x. The Nash payoffs are the following: u N = p x and Y N = Y x, p, p, u N, u N = p x + p p x + x Y N = Y x, p, p, u N, u N = p x + p p x + x Now, we find the set of Pareto optimal choices. We maximize function Y s = sy + Y : Y s x, p, p, u, u = sp u x u x+sx s u +p u x u x+ x u. Using necessary condition: Y s u = 0 and Y s u = 0 we receive u P = p + s p x and u P = sp + p x. The respective payoffs are: Y P = p p + s p x + sp + p x + x p + s p x Y P = p p + s p x + sp + p x + x sp + p x Firstly, we shall use fairness condition 4 and 5. Condition 5 allows us to present function s as one of the solutions of the following equation: p x s 4 + p x s p x s p x = 0 Unfortunately, condition does not provide solutions that could be presented in one simple, analytically computed formula. On the other hand, applying conditions 6 and 7 we obtain that the seeking function s is given by the formula: p x sx, p, p = p x 4
11 Hyperbolicity of Systems Describing Value Functions The Hamilton functions for 4 are the following: H x, p, p = x p p x p x x + p p + p x p x + x H x, p, p = + + p x x p p x x + p p + p p x + x x The matrix of the linearization of 8, in this case, takes the form: p φ xp p x φ x p 4 p x p + 4p p φx p p4 φ x x + p + p 4 p x φx x p p p φ x x x + p + 4φxp p x p + φx p p4 where φx = x x. p = xv,p = xv Example Let us consider the second duopoly model, which is given in 9. The payoff functions are given in 0; thus, the instantaneous gain functions take the following form: Y i x, p, p, u, u = p i x xu u + x i u i i =, where x = x and x = x. Using, we obtain that u N = p x x with the Nash payoffs: u N = p x x and Y N = x x p + p p + x, Y N = x x p + p p + x Now, we need to find the set of Pareto optimal choices. To do that, we shall maximize function Y s = sy + Y, s > 0 is fixed: Y s x, p, p, u, u = sp x xu u +sx s u +p x xu u + x u Using necessary condition, we get u P = p + s p x x and u P = sp +p x x, and the Pareto optimal payoffs are: [ ] Y P = x x + s p + p p p s + x
12 00 J. Zwierzchowska [ Y P = x x + p + p p s p ] + x s Applying 5, we get a very similar polynomial as in Example : p s 4 + p s p s p = 0 On the other hand, from conditions 6 and 7, we find that seeking function s is given by the following formula: sx, p, p = p p 5 The Hamilton functions for 5 are the following: H x, p, p = x x p + p p + H x, p, p = x x p + p p + The linearization of the system takes the following form: [ ] V φx p + p + p p φx p + p 4 + p V t φx p + p p4 φx p + p + p p where φx = x x. p p + x p p + x p = xv,p = xv [ ] [ ] V 0 = V 0 x Criteria 6 and 7 provide an effective analytical formula describing Hamilotnian functions H, H in system 8 in both duopoly models. Our next aim is to solve the received systems numerically and to compare the obtained solutions with empirical data. REFERENCES Basar, T., Olsder, G.J., 999. Dynamic Noncooperative Game Theory. SIAM. Bressan, A., Shen, W., 004. Semi-cooperative strategies for differential games. International Journal of Game Theory,, pp Chintagunta, P.K., Vilcassim, N.J., 99. An empirical investigation of advertising strategies in a dynamic duopoly. Management Science, 8, pp Nash, J., 950. The bargaining problem. Econometrica, 8, pp Nash, J., 95. Non-cooperative games. Ann Math, 54, pp Serre, D., 000. Systems of Conservation Laws I, II. Cambridge University Press. Shen, W., 009. Non-Cooperative and Semi-Cooperative Differential Games. Advances in Dynamic Games and Their Applications, Birkhauser Basel, pp Wang, Q., Wu, Z., 00. A duopolistic model of dynamic competitive advertising. European Journal of Operational Research, 8, pp. 6.
An Introduction to Noncooperative Games
An Introduction to Noncooperative Games Alberto Bressan Department of Mathematics, Penn State University Alberto Bressan (Penn State) Noncooperative Games 1 / 29 introduction to non-cooperative games:
More informationStability of Feedback Solutions for Infinite Horizon Noncooperative Differential Games
Stability of Feedback Solutions for Infinite Horizon Noncooperative Differential Games Alberto Bressan ) and Khai T. Nguyen ) *) Department of Mathematics, Penn State University **) Department of Mathematics,
More informationAlberto Bressan. Department of Mathematics, Penn State University
Non-cooperative Differential Games A Homotopy Approach Alberto Bressan Department of Mathematics, Penn State University 1 Differential Games d dt x(t) = G(x(t), u 1(t), u 2 (t)), x(0) = y, u i (t) U i
More informationOn the Stability of the Best Reply Map for Noncooperative Differential Games
On the Stability of the Best Reply Map for Noncooperative Differential Games Alberto Bressan and Zipeng Wang Department of Mathematics, Penn State University, University Park, PA, 68, USA DPMMS, University
More informationNoncooperative continuous-time Markov games
Morfismos, Vol. 9, No. 1, 2005, pp. 39 54 Noncooperative continuous-time Markov games Héctor Jasso-Fuentes Abstract This work concerns noncooperative continuous-time Markov games with Polish state and
More informationSolution of Stochastic Optimal Control Problems and Financial Applications
Journal of Mathematical Extension Vol. 11, No. 4, (2017), 27-44 ISSN: 1735-8299 URL: http://www.ijmex.com Solution of Stochastic Optimal Control Problems and Financial Applications 2 Mat B. Kafash 1 Faculty
More informationNumerical Methods for Optimal Control Problems. Part I: Hamilton-Jacobi-Bellman Equations and Pontryagin Minimum Principle
Numerical Methods for Optimal Control Problems. Part I: Hamilton-Jacobi-Bellman Equations and Pontryagin Minimum Principle Ph.D. course in OPTIMAL CONTROL Emiliano Cristiani (IAC CNR) e.cristiani@iac.cnr.it
More informationA Stackelberg Game Model of Dynamic Duopolistic Competition with Sticky Prices. Abstract
A Stackelberg Game Model of Dynamic Duopolistic Competition with Sticky Prices Kenji Fujiwara School of Economics, Kwansei Gakuin University Abstract We develop the following Stackelberg game model of
More informationDeterministic Dynamic Programming
Deterministic Dynamic Programming 1 Value Function Consider the following optimal control problem in Mayer s form: V (t 0, x 0 ) = inf u U J(t 1, x(t 1 )) (1) subject to ẋ(t) = f(t, x(t), u(t)), x(t 0
More informationBasics of Game Theory
Basics of Game Theory Giacomo Bacci and Luca Sanguinetti Department of Information Engineering University of Pisa, Pisa, Italy {giacomo.bacci,luca.sanguinetti}@iet.unipi.it April - May, 2010 G. Bacci and
More informationRobust control and applications in economic theory
Robust control and applications in economic theory In honour of Professor Emeritus Grigoris Kalogeropoulos on the occasion of his retirement A. N. Yannacopoulos Department of Statistics AUEB 24 May 2013
More informationThe Pennsylvania State University The Graduate School MODELS OF NONCOOPERATIVE GAMES. A Dissertation in Mathematics by Deling Wei.
The Pennsylvania State University The Graduate School MODELS OF NONCOOPERATIVE GAMES A Dissertation in Mathematics by Deling Wei c 213 Deling Wei Submitted in Partial Fulfillment of the Requirements for
More informationNear-Potential Games: Geometry and Dynamics
Near-Potential Games: Geometry and Dynamics Ozan Candogan, Asuman Ozdaglar and Pablo A. Parrilo September 6, 2011 Abstract Potential games are a special class of games for which many adaptive user dynamics
More informationFirst Prev Next Last Go Back Full Screen Close Quit. Game Theory. Giorgio Fagiolo
Game Theory Giorgio Fagiolo giorgio.fagiolo@univr.it https://mail.sssup.it/ fagiolo/welcome.html Academic Year 2005-2006 University of Verona Summary 1. Why Game Theory? 2. Cooperative vs. Noncooperative
More informationNear-Potential Games: Geometry and Dynamics
Near-Potential Games: Geometry and Dynamics Ozan Candogan, Asuman Ozdaglar and Pablo A. Parrilo January 29, 2012 Abstract Potential games are a special class of games for which many adaptive user dynamics
More informationDynamic Bertrand and Cournot Competition
Dynamic Bertrand and Cournot Competition Effects of Product Differentiation Andrew Ledvina Department of Operations Research and Financial Engineering Princeton University Joint with Ronnie Sircar Princeton-Lausanne
More informationMath 152: Applicable Mathematics and Computing
Math 152: Applicable Mathematics and Computing May 26, 2017 May 26, 2017 1 / 17 Announcements Homework 6 was posted on Wednesday, due next Wednesday. Last homework is Homework 7, posted next week (due
More informationChap. 3. Controlled Systems, Controllability
Chap. 3. Controlled Systems, Controllability 1. Controllability of Linear Systems 1.1. Kalman s Criterion Consider the linear system ẋ = Ax + Bu where x R n : state vector and u R m : input vector. A :
More informationStabilization and Passivity-Based Control
DISC Systems and Control Theory of Nonlinear Systems, 2010 1 Stabilization and Passivity-Based Control Lecture 8 Nonlinear Dynamical Control Systems, Chapter 10, plus handout from R. Sepulchre, Constructive
More informationNoncooperative Games, Couplings Constraints, and Partial Effi ciency
Noncooperative Games, Couplings Constraints, and Partial Effi ciency Sjur Didrik Flåm University of Bergen, Norway Background Customary Nash equilibrium has no coupling constraints. Here: coupling constraints
More informationStackelberg-solvable games and pre-play communication
Stackelberg-solvable games and pre-play communication Claude d Aspremont SMASH, Facultés Universitaires Saint-Louis and CORE, Université catholique de Louvain, Louvain-la-Neuve, Belgium Louis-André Gérard-Varet
More informationA Note on Open Loop Nash Equilibrium in Linear-State Differential Games
Applied Mathematical Sciences, vol. 8, 2014, no. 145, 7239-7248 HIKARI Ltd, www.m-hikari.com http://dx.doi.org/10.12988/ams.2014.49746 A Note on Open Loop Nash Equilibrium in Linear-State Differential
More informationTWO-PERSON COOPERATIVE GAMES
TWO-PERSON COOPERATIVE GAMES Part II: The Axiomatic Approach J. Nash 1953 The Approach Rather than solve the two-person cooperative game by analyzing the bargaining process, one can attack the problem
More informationConvex Functions and Optimization
Chapter 5 Convex Functions and Optimization 5.1 Convex Functions Our next topic is that of convex functions. Again, we will concentrate on the context of a map f : R n R although the situation can be generalized
More informationMin-Max Certainty Equivalence Principle and Differential Games
Min-Max Certainty Equivalence Principle and Differential Games Pierre Bernhard and Alain Rapaport INRIA Sophia-Antipolis August 1994 Abstract This paper presents a version of the Certainty Equivalence
More informationOligopoly. Molly W. Dahl Georgetown University Econ 101 Spring 2009
Oligopoly Molly W. Dahl Georgetown University Econ 101 Spring 2009 1 Oligopoly A monopoly is an industry consisting a single firm. A duopoly is an industry consisting of two firms. An oligopoly is an industry
More informationStatic Model of Decision-making over the Set of Coalitional Partitions
Applied Mathematical ciences, Vol. 8, 2014, no. 170, 8451-8457 HIKARI Ltd, www.m-hiari.com http://dx.doi.org/10.12988/ams.2014.410889 tatic Model of Decision-maing over the et of Coalitional Partitions
More informationc 2004 Society for Industrial and Applied Mathematics
SIAM J. COTROL OPTIM. Vol. 43, o. 4, pp. 1222 1233 c 2004 Society for Industrial and Applied Mathematics OZERO-SUM STOCHASTIC DIFFERETIAL GAMES WITH DISCOTIUOUS FEEDBACK PAOLA MAUCCI Abstract. The existence
More informationGame theory Lecture 19. Dynamic games. Game theory
Lecture 9. Dynamic games . Introduction Definition. A dynamic game is a game Γ =< N, x, {U i } n i=, {H i } n i= >, where N = {, 2,..., n} denotes the set of players, x (t) = f (x, u,..., u n, t), x(0)
More informationMath-Net.Ru All Russian mathematical portal
Math-Net.Ru All Russian mathematical portal Anna V. Tur, A time-consistent solution formula for linear-quadratic discrete-time dynamic games with nontransferable payoffs, Contributions to Game Theory and
More information6.254 : Game Theory with Engineering Applications Lecture 7: Supermodular Games
6.254 : Game Theory with Engineering Applications Lecture 7: Asu Ozdaglar MIT February 25, 2010 1 Introduction Outline Uniqueness of a Pure Nash Equilibrium for Continuous Games Reading: Rosen J.B., Existence
More informationSelecting Efficient Correlated Equilibria Through Distributed Learning. Jason R. Marden
1 Selecting Efficient Correlated Equilibria Through Distributed Learning Jason R. Marden Abstract A learning rule is completely uncoupled if each player s behavior is conditioned only on his own realized
More informationAdvanced Microeconomics
Advanced Microeconomics Leonardo Felli EC441: Room D.106, Z.332, D.109 Lecture 8 bis: 24 November 2004 Monopoly Consider now the pricing behavior of a profit maximizing monopolist: a firm that is the only
More informationEN Applied Optimal Control Lecture 8: Dynamic Programming October 10, 2018
EN530.603 Applied Optimal Control Lecture 8: Dynamic Programming October 0, 08 Lecturer: Marin Kobilarov Dynamic Programming (DP) is conerned with the computation of an optimal policy, i.e. an optimal
More informationBargaining Efficiency and the Repeated Prisoners Dilemma. Bhaskar Chakravorti* and John Conley**
Bargaining Efficiency and the Repeated Prisoners Dilemma Bhaskar Chakravorti* and John Conley** Published as: Bhaskar Chakravorti and John P. Conley (2004) Bargaining Efficiency and the repeated Prisoners
More informationComplex Dynamic Systems: Qualitative vs Quantitative analysis
Complex Dynamic Systems: Qualitative vs Quantitative analysis Complex Dynamic Systems Chiara Mocenni Department of Information Engineering and Mathematics University of Siena (mocenni@diism.unisi.it) Dynamic
More informationEE291E/ME 290Q Lecture Notes 8. Optimal Control and Dynamic Games
EE291E/ME 290Q Lecture Notes 8. Optimal Control and Dynamic Games S. S. Sastry REVISED March 29th There exist two main approaches to optimal control and dynamic games: 1. via the Calculus of Variations
More informationOPTIMAL CONTROL SYSTEMS
SYSTEMS MIN-MAX Harry G. Kwatny Department of Mechanical Engineering & Mechanics Drexel University OUTLINE MIN-MAX CONTROL Problem Definition HJB Equation Example GAME THEORY Differential Games Isaacs
More informationStochastic Nonlinear Stabilization Part II: Inverse Optimality Hua Deng and Miroslav Krstic Department of Mechanical Engineering h
Stochastic Nonlinear Stabilization Part II: Inverse Optimality Hua Deng and Miroslav Krstic Department of Mechanical Engineering denghua@eng.umd.edu http://www.engr.umd.edu/~denghua/ University of Maryland
More informationKalai-Smorodinsky Bargaining Solution Equilibria
WORKING PAPER NO. 235 Kalai-Smorodinsky Bargaining Solution Equilibria Giuseppe De Marco and Jacqueline Morgan July 2009 University of Naples Federico II University of Salerno Bocconi University, Milan
More informationHyperbolic Gradient Flow: Evolution of Graphs in R n+1
Hyperbolic Gradient Flow: Evolution of Graphs in R n+1 De-Xing Kong and Kefeng Liu Dedicated to Professor Yi-Bing Shen on the occasion of his 70th birthday Abstract In this paper we introduce a new geometric
More informationTHE STUDY OF THE SET OF NASH EQUILIBRIUM POINTS FOR ONE TWO-PLAYERS GAME WITH QUADRATIC PAYOFF FUNCTIONS
Yugoslav Journal of Operations Research 5 015 Number 91 97 DOI: 10.98/YJOR13091701N THE STUDY OF THE SET OF NASH EQUILIBRIUM POINTS FOR ONE TWO-PLAYERS GAME WITH QUADRATIC PAYOFF FUNCTIONS Mikhail Sergeevich
More informationAn introduction to Birkhoff normal form
An introduction to Birkhoff normal form Dario Bambusi Dipartimento di Matematica, Universitá di Milano via Saldini 50, 0133 Milano (Italy) 19.11.14 1 Introduction The aim of this note is to present an
More informationSolving fuzzy matrix games through a ranking value function method
Available online at wwwisr-publicationscom/jmcs J Math Computer Sci, 18 (218), 175 183 Research Article Journal Homepage: wwwtjmcscom - wwwisr-publicationscom/jmcs Solving fuzzy matrix games through a
More informationOn the dynamics of strongly tridiagonal competitive-cooperative system
On the dynamics of strongly tridiagonal competitive-cooperative system Chun Fang University of Helsinki International Conference on Advances on Fractals and Related Topics, Hong Kong December 14, 2012
More informationON THE FOLIATION OF SPACE-TIME BY CONSTANT MEAN CURVATURE HYPERSURFACES
ON THE FOLIATION OF SPACE-TIME BY CONSTANT MEAN CURVATURE HYPERSURFACES CLAUS GERHARDT Abstract. We prove that the mean curvature τ of the slices given by a constant mean curvature foliation can be used
More informationMathematical Economics - PhD in Economics
- PhD in Part 1: Supermodularity and complementarity in the one-dimensional and Paulo Brito ISEG - Technical University of Lisbon November 24, 2010 1 2 - Supermodular optimization 3 one-dimensional 4 Supermodular
More informationOptimal Transportation. Nonlinear Partial Differential Equations
Optimal Transportation and Nonlinear Partial Differential Equations Neil S. Trudinger Centre of Mathematics and its Applications Australian National University 26th Brazilian Mathematical Colloquium 2007
More informationUNIQUENESS OF POSITIVE SOLUTION TO SOME COUPLED COOPERATIVE VARIATIONAL ELLIPTIC SYSTEMS
TRANSACTIONS OF THE AMERICAN MATHEMATICAL SOCIETY Volume 00, Number 0, Pages 000 000 S 0002-9947(XX)0000-0 UNIQUENESS OF POSITIVE SOLUTION TO SOME COUPLED COOPERATIVE VARIATIONAL ELLIPTIC SYSTEMS YULIAN
More informationQuantum Bertrand duopoly of incomplete information
INSTITUTE OF PHYSICS PUBLISHING JOURNAL OF PHYSICS A: MATHEMATICAL AND GENERAL J. Phys. A: Math. Gen. 38 (2005) 4247 4253 doi:10.1088/0305-4470/38/19/013 Quantum Bertrand duopoly of incomplete information
More informationA fixed point theorem for multivalued mappings
Electronic Journal of Qualitative Theory of Differential Equations 24, No. 17, 1-1; http://www.math.u-szeged.hu/ejqtde/ A fixed point theorem for multivalued mappings Cezar AVRAMESCU Abstract A generalization
More informationMulti-Robotic Systems
CHAPTER 9 Multi-Robotic Systems The topic of multi-robotic systems is quite popular now. It is believed that such systems can have the following benefits: Improved performance ( winning by numbers ) Distributed
More informationOptimal Control. Macroeconomics II SMU. Ömer Özak (SMU) Economic Growth Macroeconomics II 1 / 112
Optimal Control Ömer Özak SMU Macroeconomics II Ömer Özak (SMU) Economic Growth Macroeconomics II 1 / 112 Review of the Theory of Optimal Control Section 1 Review of the Theory of Optimal Control Ömer
More informationThe first order quasi-linear PDEs
Chapter 2 The first order quasi-linear PDEs The first order quasi-linear PDEs have the following general form: F (x, u, Du) = 0, (2.1) where x = (x 1, x 2,, x 3 ) R n, u = u(x), Du is the gradient of u.
More informationAn homotopy method for exact tracking of nonlinear nonminimum phase systems: the example of the spherical inverted pendulum
9 American Control Conference Hyatt Regency Riverfront, St. Louis, MO, USA June -, 9 FrA.5 An homotopy method for exact tracking of nonlinear nonminimum phase systems: the example of the spherical inverted
More informationStatic (or Simultaneous- Move) Games of Complete Information
Static (or Simultaneous- Move) Games of Complete Information Introduction to Games Normal (or Strategic) Form Representation Teoria dos Jogos - Filomena Garcia 1 Outline of Static Games of Complete Information
More informationChapter Introduction. A. Bensoussan
Chapter 2 EXPLICIT SOLUTIONS OFLINEAR QUADRATIC DIFFERENTIAL GAMES A. Bensoussan International Center for Decision and Risk Analysis University of Texas at Dallas School of Management, P.O. Box 830688
More information2. Dual space is essential for the concept of gradient which, in turn, leads to the variational analysis of Lagrange multipliers.
Chapter 3 Duality in Banach Space Modern optimization theory largely centers around the interplay of a normed vector space and its corresponding dual. The notion of duality is important for the following
More informationEquilibria in Games with Weak Payoff Externalities
NUPRI Working Paper 2016-03 Equilibria in Games with Weak Payoff Externalities Takuya Iimura, Toshimasa Maruta, and Takahiro Watanabe October, 2016 Nihon University Population Research Institute http://www.nihon-u.ac.jp/research/institute/population/nupri/en/publications.html
More informationIntroduction to Optimal Control Theory and Hamilton-Jacobi equations. Seung Yeal Ha Department of Mathematical Sciences Seoul National University
Introduction to Optimal Control Theory and Hamilton-Jacobi equations Seung Yeal Ha Department of Mathematical Sciences Seoul National University 1 A priori message from SYHA The main purpose of these series
More information4: Dynamic games. Concordia February 6, 2017
INSE6441 Jia Yuan Yu 4: Dynamic games Concordia February 6, 2017 We introduce dynamic game with non-simultaneous moves. Example 0.1 (Ultimatum game). Divide class into two groups at random: Proposers,
More informationDuality and dynamics in Hamilton-Jacobi theory for fully convex problems of control
Duality and dynamics in Hamilton-Jacobi theory for fully convex problems of control RTyrrell Rockafellar and Peter R Wolenski Abstract This paper describes some recent results in Hamilton- Jacobi theory
More informationSplitting Enables Overcoming the Curse of Dimensionality
Splitting Enables Overcoming the Curse of Dimensionality Jerome Darbon Stanley Osher In this short note we briefly outline a new and remarkably fast algorithm for solving a a large class of high dimensional
More informationL 2 -induced Gains of Switched Systems and Classes of Switching Signals
L 2 -induced Gains of Switched Systems and Classes of Switching Signals Kenji Hirata and João P. Hespanha Abstract This paper addresses the L 2-induced gain analysis for switched linear systems. We exploit
More informationA finite population ESS and a long run equilibrium in an n players coordination game
Mathematical Social Sciences 39 (000) 95 06 www.elsevier.nl/ locate/ econbase A finite population ESS and a long run equilibrium in an n players coordination game Yasuhito Tanaka* Faculty of Law, Chuo
More informationComputing Minmax; Dominance
Computing Minmax; Dominance CPSC 532A Lecture 5 Computing Minmax; Dominance CPSC 532A Lecture 5, Slide 1 Lecture Overview 1 Recap 2 Linear Programming 3 Computational Problems Involving Maxmin 4 Domination
More informationCould Nash equilibria exist if the payoff functions are not quasi-concave?
Could Nash equilibria exist if the payoff functions are not quasi-concave? (Very preliminary version) Bich philippe Abstract In a recent but well known paper (see [11]), Reny has proved the existence of
More information1 Lattices and Tarski s Theorem
MS&E 336 Lecture 8: Supermodular games Ramesh Johari April 30, 2007 In this lecture, we develop the theory of supermodular games; key references are the papers of Topkis [7], Vives [8], and Milgrom and
More informationSolving a Class of Generalized Nash Equilibrium Problems
Journal of Mathematical Research with Applications May, 2013, Vol. 33, No. 3, pp. 372 378 DOI:10.3770/j.issn:2095-2651.2013.03.013 Http://jmre.dlut.edu.cn Solving a Class of Generalized Nash Equilibrium
More informationNotes on Blackwell s Comparison of Experiments Tilman Börgers, June 29, 2009
Notes on Blackwell s Comparison of Experiments Tilman Börgers, June 29, 2009 These notes are based on Chapter 12 of David Blackwell and M. A.Girshick, Theory of Games and Statistical Decisions, John Wiley
More informationA Note on Discrete Convexity and Local Optimality
A Note on Discrete Convexity and Local Optimality Takashi Ui Faculty of Economics Yokohama National University oui@ynu.ac.jp May 2005 Abstract One of the most important properties of a convex function
More informationGame Theory and its Applications to Networks - Part I: Strict Competition
Game Theory and its Applications to Networks - Part I: Strict Competition Corinne Touati Master ENS Lyon, Fall 200 What is Game Theory and what is it for? Definition (Roger Myerson, Game Theory, Analysis
More informationFIXED POINT ITERATIONS
FIXED POINT ITERATIONS MARKUS GRASMAIR 1. Fixed Point Iteration for Non-linear Equations Our goal is the solution of an equation (1) F (x) = 0, where F : R n R n is a continuous vector valued mapping in
More informationA Remark on IVP and TVP Non-Smooth Viscosity Solutions to Hamilton-Jacobi Equations
2005 American Control Conference June 8-10, 2005. Portland, OR, USA WeB10.3 A Remark on IVP and TVP Non-Smooth Viscosity Solutions to Hamilton-Jacobi Equations Arik Melikyan, Andrei Akhmetzhanov and Naira
More informationDynamic Blocking Problems for Models of Fire Propagation
Dynamic Blocking Problems for Models of Fire Propagation Alberto Bressan Department of Mathematics, Penn State University bressan@math.psu.edu Alberto Bressan (Penn State) Dynamic Blocking Problems 1 /
More informationBargaining, Contracts, and Theories of the Firm. Dr. Margaret Meyer Nuffield College
Bargaining, Contracts, and Theories of the Firm Dr. Margaret Meyer Nuffield College 2015 Course Overview 1. Bargaining 2. Hidden information and self-selection Optimal contracting with hidden information
More informationEssential equilibria in normal-form games
Journal of Economic Theory 145 (2010) 421 431 www.elsevier.com/locate/jet Note Essential equilibria in normal-form games Oriol Carbonell-Nicolau 1 Department of Economics, Rutgers University, 75 Hamilton
More informationCooperative bargaining: independence and monotonicity imply disagreement
Cooperative bargaining: independence and monotonicity imply disagreement Shiran Rachmilevitch September 23, 2012 Abstract A unique bargaining solution satisfies restricted monotonicity, independence of
More informationMicroeconomics for Business Practice Session 3 - Solutions
Microeconomics for Business Practice Session - Solutions Instructor: Eloisa Campioni TA: Ugo Zannini University of Rome Tor Vergata April 8, 016 Exercise 1 Show that there are no mixed-strategy Nash equilibria
More informationDepartment of Economics
Department of Economics Two-stage Bargaining Solutions Paola Manzini and Marco Mariotti Working Paper No. 572 September 2006 ISSN 1473-0278 Two-stage bargaining solutions Paola Manzini and Marco Mariotti
More informationStrategic Interactions between Fiscal and Monetary Policies in a Monetary Union
Strategic Interactions between Fiscal and Monetary Policies in a Monetary Union Reinhard Neck Doris A. Behrens Preliminary Draft, not to be quoted January 2003 Corresponding Author s Address: Reinhard
More information4. Opponent Forecasting in Repeated Games
4. Opponent Forecasting in Repeated Games Julian and Mohamed / 2 Learning in Games Literature examines limiting behavior of interacting players. One approach is to have players compute forecasts for opponents
More informationA Constructive Proof of the Nash Bargaining Solution
Working Paper 14/0 /01 A Constructive Proof of the Nash Bargaining Solution Luís Carvalho ISCTE - Instituto Universitário de Lisboa BRU-IUL Unide-IUL) Av. Forças Armadas 1649-126 Lisbon-Portugal http://bru-unide.iscte.pt/
More informationGame Theory. Greg Plaxton Theory in Programming Practice, Spring 2004 Department of Computer Science University of Texas at Austin
Game Theory Greg Plaxton Theory in Programming Practice, Spring 2004 Department of Computer Science University of Texas at Austin Bimatrix Games We are given two real m n matrices A = (a ij ), B = (b ij
More informationOSNR Optimization in Optical Networks: Extension for Capacity Constraints
5 American Control Conference June 8-5. Portland OR USA ThB3.6 OSNR Optimization in Optical Networks: Extension for Capacity Constraints Yan Pan and Lacra Pavel Abstract This paper builds on the OSNR model
More informationMULTIDIMENSIONAL SINGULAR λ-lemma
Electronic Journal of Differential Equations, Vol. 23(23), No. 38, pp.1 9. ISSN: 172-6691. URL: http://ejde.math.swt.edu or http://ejde.math.unt.edu ftp ejde.math.swt.edu (login: ftp) MULTIDIMENSIONAL
More informationEvolution & Learning in Games
1 / 28 Evolution & Learning in Games Econ 243B Jean-Paul Carvalho Lecture 5. Revision Protocols and Evolutionary Dynamics 2 / 28 Population Games played by Boundedly Rational Agents We have introduced
More informationDiscrete Bidding Strategies for a Random Incoming Order
Discrete Bidding Strategies for a Random Incoming Order Alberto Bressan and Giancarlo Facchi Department of Mathematics, Penn State University University Park, Pa 1682, USA e-mails: bressan@mathpsuedu,
More informationThe principle of least action and two-point boundary value problems in orbital mechanics
The principle of least action and two-point boundary value problems in orbital mechanics Seung Hak Han and William M McEneaney Abstract We consider a two-point boundary value problem (TPBVP) in orbital
More informationFor general queries, contact
PART I INTRODUCTION LECTURE Noncooperative Games This lecture uses several examples to introduce the key principles of noncooperative game theory Elements of a Game Cooperative vs Noncooperative Games:
More informationControl Theory in Physics and other Fields of Science
Michael Schulz Control Theory in Physics and other Fields of Science Concepts, Tools, and Applications With 46 Figures Sprin ger 1 Introduction 1 1.1 The Aim of Control Theory 1 1.2 Dynamic State of Classical
More informationA MODEL FOR THE LONG-TERM OPTIMAL CAPACITY LEVEL OF AN INVESTMENT PROJECT
A MODEL FOR HE LONG-ERM OPIMAL CAPACIY LEVEL OF AN INVESMEN PROJEC ARNE LØKKA AND MIHAIL ZERVOS Abstract. We consider an investment project that produces a single commodity. he project s operation yields
More informationChap. 1. Some Differential Geometric Tools
Chap. 1. Some Differential Geometric Tools 1. Manifold, Diffeomorphism 1.1. The Implicit Function Theorem ϕ : U R n R n p (0 p < n), of class C k (k 1) x 0 U such that ϕ(x 0 ) = 0 rank Dϕ(x) = n p x U
More informationminimize x subject to (x 2)(x 4) u,
Math 6366/6367: Optimization and Variational Methods Sample Preliminary Exam Questions 1. Suppose that f : [, L] R is a C 2 -function with f () on (, L) and that you have explicit formulae for
More informationWaseda Economics Working Paper Series
Waseda Economics Working Paper Series Testable implications of the core in market game with transferable utility AGATSUMA, Yasushi Graduate School of Economics Waseda University Graduate School of Economics
More informationDistributed Learning based on Entropy-Driven Game Dynamics
Distributed Learning based on Entropy-Driven Game Dynamics Bruno Gaujal joint work with Pierre Coucheney and Panayotis Mertikopoulos Inria Aug., 2014 Model Shared resource systems (network, processors)
More informationA Price-Based Approach for Controlling Networked Distributed Energy Resources
A Price-Based Approach for Controlling Networked Distributed Energy Resources Alejandro D. Domínguez-García (joint work with Bahman Gharesifard and Tamer Başar) Coordinated Science Laboratory Department
More informationDETERMINATION OF AN UNKNOWN SOURCE TERM IN A SPACE-TIME FRACTIONAL DIFFUSION EQUATION
Journal of Fractional Calculus and Applications, Vol. 6(1) Jan. 2015, pp. 83-90. ISSN: 2090-5858. http://fcag-egypt.com/journals/jfca/ DETERMINATION OF AN UNKNOWN SOURCE TERM IN A SPACE-TIME FRACTIONAL
More informationGame Theory with Information: Introducing the Witsenhausen Intrinsic Model
Game Theory with Information: Introducing the Witsenhausen Intrinsic Model Michel De Lara and Benjamin Heymann Cermics, École des Ponts ParisTech France École des Ponts ParisTech March 15, 2017 Information
More informationAdaptive State Feedback Nash Strategies for Linear Quadratic Discrete-Time Games
Adaptive State Feedbac Nash Strategies for Linear Quadratic Discrete-Time Games Dan Shen and Jose B. Cruz, Jr. Intelligent Automation Inc., Rocville, MD 2858 USA (email: dshen@i-a-i.com). The Ohio State
More information