Learning the optimum as a Nash equilibrium

Date

2000

Authors

Özyıldırım, S.
Alemdar, N. M.

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Abstract

This paper shows the computational benefits of a game theoretic approach to optimization of high dimensional control problems. A dynamic noncooperative game framework is adopted to partition the control space and to search the optimum as the equilibrium of a k-person dynamic game played by k-parallel genetic algorithms. When there are multiple inputs, we delegate control authority over a set of control variables exclusively to one player so that k artificially intelligent players explore and communicate to learn the global optimum as the Nash equilibrium. In the case of a single input, each player's decision authority becomes active on exclusive sets of dates so that k GAs construct the optimal control trajectory as the equilibrium of evolving best-to-date responses. Sample problems are provided to demonstrate the gains in computational speed and accuracy. © 2000 Elsevier Science B.V.

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Journal of Economic Dynamics and Control

Publisher

Elsevier BV

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Published Version (Please cite this version)

Language

English