An improved NIRA algorithm of nash equilibrium and its application

Guangwen Kong, Daoli Zhu

Research output: Chapter in Book/Report/Conference proceedingConference contribution

1 Scopus citations

Abstract

Recent theoretical studies have shown that a relaxation algorithm can be used to find noncooperative equilibrium of synchronous infinite games with nonlinear payoff functions and coupled constraints based on Nikaido-Isoda function.In this study,this paper introduces an improvement to the Nash equilibrium algorithm with linear search step-size control. Compared with the other two choice of step-sizes, i.e constant step size and steepest-decent step-size, this algorithm performs a well balance between iterative steps and time efficiency.In the end of this paper, it provides a case study of financial investment in order to determine the optimal financial investment ratio by this algorithm.

Original languageEnglish (US)
Title of host publicationProceedings of the IEEE International Conference on Automation and Logistics, ICAL 2007
Pages2580-2585
Number of pages6
DOIs
StatePublished - Dec 1 2007
Event2007 IEEE International Conference on Automation and Logistics, ICAL 2007 - Jinan, China
Duration: Aug 18 2007Aug 21 2007

Other

Other2007 IEEE International Conference on Automation and Logistics, ICAL 2007
CountryChina
CityJinan
Period8/18/078/21/07

Keywords

  • Financial investment
  • Nash equilibrium
  • Nikaido-isoda function
  • Relaxation algorithm

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