A differentiable path-following method to compute subgame perfect equilibria in stationary strategies in robust stochastic games and its applications

DOI10.1016/j.ejor.2021.06.059zbMath1490.91017OpenAlexW3182017764MaRDI QIDQ2076884

Zhongdong Xiao, Yiyin Cao, Chuangyin Dang

Publication date: 22 February 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.06.059

zbMATH Keywords

game theoryconvex-quadratic-penalty differentiable path-following methodlogarithmic-barrier differentiable path-following methodrobust stochastic gamesubgame perfect equilibrium in stationary strategies

Mathematics Subject Classification ID

Stochastic games, stochastic differential games (91A15)

Uses Software

• BRMaximin

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