Author: David W.K. Yeung Publisher: Springer Science & Business Media ISBN: 038727622X Category : Business & Economics Languages : en Pages : 253
Book Description
Numerical Optimization presents a comprehensive and up-to-date description of the most effective methods in continuous optimization. It responds to the growing interest in optimization in engineering, science, and business by focusing on the methods that are best suited to practical problems. For this new edition the book has been thoroughly updated throughout. There are new chapters on nonlinear interior methods and derivative-free methods for optimization, both of which are used widely in practice and the focus of much current research. Because of the emphasis on practical methods, as well as the extensive illustrations and exercises, the book is accessible to a wide audience. It can be used as a graduate text in engineering, operations research, mathematics, computer science, and business. It also serves as a handbook for researchers and practitioners in the field. The authors have strived to produce a text that is pleasant to read, informative, and rigorous - one that reveals both the beautiful nature of the discipline and its practical side.
Author: David W.K. Yeung Publisher: Springer ISBN: 9780387508399 Category : Business & Economics Languages : en Pages : 242
Book Description
Numerical Optimization presents a comprehensive and up-to-date description of the most effective methods in continuous optimization. It responds to the growing interest in optimization in engineering, science, and business by focusing on the methods that are best suited to practical problems. For this new edition the book has been thoroughly updated throughout. There are new chapters on nonlinear interior methods and derivative-free methods for optimization, both of which are used widely in practice and the focus of much current research. Because of the emphasis on practical methods, as well as the extensive illustrations and exercises, the book is accessible to a wide audience. It can be used as a graduate text in engineering, operations research, mathematics, computer science, and business. It also serves as a handbook for researchers and practitioners in the field. The authors have strived to produce a text that is pleasant to read, informative, and rigorous - one that reveals both the beautiful nature of the discipline and its practical side.
Author: Kandethody M. Ramachandran Publisher: Springer Science & Business Media ISBN: 9491216473 Category : Mathematics Languages : en Pages : 253
Book Description
The subject theory is important in finance, economics, investment strategies, health sciences, environment, industrial engineering, etc.
Author: Cheng-ke Zhang Publisher: Springer ISBN: 331940587X Category : Technology & Engineering Languages : en Pages : 196
Book Description
This book systematically studies the stochastic non-cooperative differential game theory of generalized linear Markov jump systems and its application in the field of finance and insurance. The book is an in-depth research book of the continuous time and discrete time linear quadratic stochastic differential game, in order to establish a relatively complete framework of dynamic non-cooperative differential game theory. It uses the method of dynamic programming principle and Riccati equation, and derives it into all kinds of existence conditions and calculating method of the equilibrium strategies of dynamic non-cooperative differential game. Based on the game theory method, this book studies the corresponding robust control problem, especially the existence condition and design method of the optimal robust control strategy. The book discusses the theoretical results and its applications in the risk control, option pricing, and the optimal investment problem in the field of finance and insurance, enriching the achievements of differential game research. This book can be used as a reference book for non-cooperative differential game study, for graduate students majored in economic management, science and engineering of institutions of higher learning.
Author: Alain Haurie Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
This paper deals with a class of equilibria which are based on the use of memory strategies in the context of continuous-time stochastic differential games. In order to get interpretable results, we will focus the study on a stochastic differential game model of the exploitation of one species of fish by two competing fisheries. We explore the possibility of defining a so-called cooperative equilibrium, which will implement a fishing agreement. In order to obtain that equilibrium, one defines a monitoring variable and an associated retaliation scheme. Depending on the value of the monitoring variable, which provides some evidence of a deviation from the agreement, the probability increases that the mode of a game will change from a cooperative to a punitive one. Both the monitoring variable and the parameters of this jump process are design elements of the cooperative equilibrium. A cooperative equilibrium designed in this way is a solution concept for a switching diffusion game. We solve that game using the sufficient conditions for a feedback equilibrium which are given by a set of coupled HJB equations. A numerical analysis, approximating the solution of the HJB equations through an associated Markov game, enables us to show that there exist cooperative equilibria which dominate the classical feedback Nash equilibrium of the original diffusion game model.
Author: Martino Bardi Publisher: Springer Science & Business Media ISBN: 1461215927 Category : Mathematics Languages : en Pages : 388
Book Description
The theory of two-person, zero-sum differential games started at the be ginning of the 1960s with the works of R. Isaacs in the United States and L.S. Pontryagin and his school in the former Soviet Union. Isaacs based his work on the Dynamic Programming method. He analyzed many special cases of the partial differential equation now called Hamilton Jacobi-Isaacs-briefiy HJI-trying to solve them explicitly and synthe sizing optimal feedbacks from the solution. He began a study of singular surfaces that was continued mainly by J. Breakwell and P. Bernhard and led to the explicit solution of some low-dimensional but highly nontriv ial games; a recent survey of this theory can be found in the book by J. Lewin entitled Differential Games (Springer, 1994). Since the early stages of the theory, several authors worked on making the notion of value of a differential game precise and providing a rigorous derivation of the HJI equation, which does not have a classical solution in most cases; we mention here the works of W. Fleming, A. Friedman (see his book, Differential Games, Wiley, 1971), P.P. Varaiya, E. Roxin, R.J. Elliott and N.J. Kalton, N.N. Krasovskii, and A.I. Subbotin (see their book Po sitional Differential Games, Nauka, 1974, and Springer, 1988), and L.D. Berkovitz. A major breakthrough was the introduction in the 1980s of two new notions of generalized solution for Hamilton-Jacobi equations, namely, viscosity solutions, by M.G. Crandall and P.-L.
Author: Tao Yao Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
In the current literature of differential games, most studies formulate optimal strategies in feedback (Markovian) equilibriums and ignore repeated interactions among players. In many real-world settings, however, the competitors' action history may have impacts on a firm's decisions. This paper considers the production strategies for several competing firms in an oligopolistic industry. A firm's profit is determined by a continuous-time stochastic demand shock process together with the production strategies of all firms in the industry. A firm's decision is only observable by other firms after an information time lag, induced by the production lead time. We study a history-dependent trigger strategy, whereby firms adopt the cooperative strategy until a firm fails to do so, and thereafter punish the deviating firm by applying the noncooperative equilibrium. We show that, as long as the information time lag is less than a threshold, the trigger strategy is both a Nash equilibrium and a Pareto optimum. We obtain the analytical solutions to the threshold and investigate how the threshold is affected by market growth rate, market volatility, the number of competitors in the industry, and the risk-free rate. Moreover, we investigate the repeated games in a continuous-time setting and provide a tractable approach to derive the trigger-type repeated equilibrium in a Nash-Cournot framework. While the derivation of equilibrium strategies in a stochastic continuous-time setting can be quite challenging, we obtain a solution that is not only analytically simple but also practically applicable.
Author: Engelbert Dockner Publisher: Cambridge University Press ISBN: 9780521637329 Category : Business & Economics Languages : en Pages : 398
Book Description
A comprehensive, self-contained survey of the theory and applications of differential games, one of the most commonly used tools for modelling and analysing economics and management problems which are characterised by both multiperiod and strategic decision making. Although no prior knowledge of game theory is required, a basic knowledge of linear algebra, ordinary differential equations, mathematical programming and probability theory is necessary. Part One presents the theory of differential games, starting with the basic concepts of game theory and going on to cover control theoretic models, Markovian equilibria with simultaneous play, differential games with hierarchical play, trigger strategy equilibria, differential games with special structures, and stochastic differential games. Part Two offers applications to capital accumulation games, industrial organization and oligopoly games, marketing, resources and environmental economics.
Author: David W.K. Yeung
Author: David W.K. Yeung
Author: Kandethody M. Ramachandran
Author: Cheng-ke Zhang
Author: Alain Haurie
Author: Martino Bardi
Author: George Leitmann
Author: Tao Yao
Author: Engelbert Dockner
Author: George Leitmann