Abstract
Recent theoretical studies have shown that a relaxation algorithm can be used to find noncooperative equilibrium of synchronous infinite games with nonlinear payoff functions and coupled constraints based on Nikaido-Isoda function.In this study,this paper introduces an improvement to the Nash equilibrium algorithm with linear search step-size control. Compared with the other two choice of step-sizes, i.e constant step size and steepest-decent step-size, this algorithm performs a well balance between iterative steps and time efficiency.In the end of this paper, it provides a case study of financial investment in order to determine the optimal financial investment ratio by this algorithm.
Original language | English (US) |
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Title of host publication | Proceedings of the IEEE International Conference on Automation and Logistics, ICAL 2007 |
Pages | 2580-2585 |
Number of pages | 6 |
DOIs | |
State | Published - Dec 1 2007 |
Event | 2007 IEEE International Conference on Automation and Logistics, ICAL 2007 - Jinan, China Duration: Aug 18 2007 → Aug 21 2007 |
Other
Other | 2007 IEEE International Conference on Automation and Logistics, ICAL 2007 |
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Country/Territory | China |
City | Jinan |
Period | 8/18/07 → 8/21/07 |
Keywords
- Financial investment
- Nash equilibrium
- Nikaido-isoda function
- Relaxation algorithm