Title: Equilibrium in Nash differential games via Lyapunov-type iterations

Authors: Ivan Ganchev Ivanov; Boyan Mihailov Lomev

Addresses: Department of Statistics and Econometrics, Faculty of Economics and Business Administration, Sofia University “St. Kliment Ohridski”, Sofia 1113, Bulgaria. ' Department of Statistics and Econometrics, Faculty of Economics and Business Administration, Sofia University “St. Kliment Ohridski”, Sofia 1113, Bulgaria

Abstract: This paper discusses the numerical solution of the coupled algebraic Riccati equations associated with the linear quadratic differential games. The Lyapunov iteration for solving the considered coupled equations is discussed by Li and Gajic (1994). We modify this iteration and derive the new algorithm with typically convergence properties for methods of such a type introduced in the literature. Finally, to demonstrate the efficiency of the proposed algorithms, computational examples are provided and numerical effectiveness of the considered algorithms is commented.

Keywords: linear quadratic differential games; Nash strategies; coupled algebraic Riccati equations; Lyapunov iteration; econometrics.

DOI: 10.1504/IJCEE.2011.043251

International Journal of Computational Economics and Econometrics, 2011 Vol.2 No.2, pp.115 - 122

Published online: 22 Oct 2011 *

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