A policy iteration algorithm for nonzero-sum stochastic impulse games

DOI10.1051/proc/201965027zbMath1418.49038arXiv1803.05830OpenAlexW3098581264WikidataQ115008123 ScholiaQ115008123MaRDI QIDQ4967861

Diego Zabaljauregui, Jorge P. Zubelli, René Aïd, Francisco Bernal, Mohammed Mnif

Publication date: 11 July 2019

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.05830

zbMATH Keywords

Nash equilibriumpolicy iterationquasi-variational inequalityHoward's algorithmnonzero-sum gamestochastic impulse game

Mathematics Subject Classification ID

Variational inequalities (49J40) Differential games and control (49N70) Impulsive optimal control problems (49N25)

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Nonzero-Sum Stochastic Impulse Games with an Application in Competitive Retail Energy Markets ⋮ A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games

Cites Work

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• Some Convergence Results for Howard's Algorithm
• Nonzero-Sum Stochastic Differential Games with Impulse Controls: A Verification Theorem with Applications