Blueschke, Dmitri Blueschke-Nikolaeva, Victoria Savin, Ivan
Year of Publication:
Jena Economic Research Papers No. 2015-011
We propose a meta-heuristic approach for solving nonlinear dynamic tracking games. In contrast to more "traditional" methods based on linear-quadratic (LQ) techniques, this derivative-free method is very flexible (e.g. to introduce inequality constraints). The meta-heuristic is applied to a three-player dynamic game and tested versus derivative-dependent method in approximating Nash solution in different game specifications. We demonstrate the superiority of the proposed approach in identifying Nash equilibria, where LQ methods are not applicable.
differential evolution dynamic games nash equilibrium