An improved NIRA algorithm of nash equilibrium and its application

Guangwen Kong; Daoli Zhu

doi:10.1109/ICAL.2007.4339015

An improved NIRA algorithm of nash equilibrium and its application

Guangwen Kong, Daoli Zhu

Industrial and Systems Engineering

Research output: Chapter in Book/Report/Conference proceeding › Conference 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 language	English (US)
Title of host publication	Proceedings of the IEEE International Conference on Automation and Logistics, ICAL 2007
Pages	2580-2585
Number of pages	6
DOIs	https://doi.org/10.1109/ICAL.2007.4339015
State	Published - Dec 1 2007
Event	2007 IEEE International Conference on Automation and Logistics, ICAL 2007 - Jinan, China Duration: Aug 18 2007 → Aug 21 2007

Other

Other	2007 IEEE International Conference on Automation and Logistics, ICAL 2007
Country/Territory	China
City	Jinan
Period	8/18/07 → 8/21/07

Keywords

Financial investment
Nash equilibrium
Nikaido-isoda function
Relaxation algorithm

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title = "An improved NIRA algorithm of nash equilibrium and its application",

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.",

keywords = "Financial investment, Nash equilibrium, Nikaido-isoda function, Relaxation algorithm",

author = "Guangwen Kong and Daoli Zhu",

year = "2007",

month = dec,

day = "1",

doi = "10.1109/ICAL.2007.4339015",

language = "English (US)",

isbn = "1424415314",

pages = "2580--2585",

booktitle = "Proceedings of the IEEE International Conference on Automation and Logistics, ICAL 2007",

note = "2007 IEEE International Conference on Automation and Logistics, ICAL 2007 ; Conference date: 18-08-2007 Through 21-08-2007",

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T1 - An improved NIRA algorithm of nash equilibrium and its application

AU - Kong, Guangwen

AU - Zhu, Daoli

PY - 2007/12/1

Y1 - 2007/12/1

N2 - 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.

AB - 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.

KW - Financial investment

KW - Nash equilibrium

KW - Nikaido-isoda function

KW - Relaxation algorithm

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DO - 10.1109/ICAL.2007.4339015

M3 - Conference contribution

AN - SCOPUS:40749109854

SN - 1424415314

SN - 9781424415311

SP - 2580

EP - 2585

BT - Proceedings of the IEEE International Conference on Automation and Logistics, ICAL 2007

T2 - 2007 IEEE International Conference on Automation and Logistics, ICAL 2007

Y2 - 18 August 2007 through 21 August 2007

ER -

An improved NIRA algorithm of nash equilibrium and its application

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