OPTGAME 1.0: A NUMERICAL ALGORITHM TO DETERMINE SOLUTIONS FOR TWO-PERSON DIFFERENCE GAMES

摘要

We present an algorithm to analytically solve two-person affine-quadratic difference games, and to numerically calculate nonlinear quadratic difference games using an appropriate local linearization procedure for a time-structure relevant for economic modeling. The numerical approximation and the derivation of different solutions of the underlying affine-quadratic dynamic games are explained; in particular, we determine open-loop and feedback Nash and Stackelberg equilibrium solutions and Pareto-optimal solutions.