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Numerical approximation of Nash equilibria for a class of non-cooperative differential games (1109.3569v1)
Published 16 Sep 2011 in math.NA, cs.SY, math.AP, and math.OC
Abstract: In this paper we propose a numerical method to obtain an approximation of Nash equilibria for multi-player non-cooperative games with a special structure. We consider the infinite horizon problem in a case which leads to a system of Hamilton-Jacobi equations. The numerical method is based on the Dynamic Programming Principle for every equation and on a global fixed point iteration. We present the numerical solutions of some two-player games in one and two dimensions. The paper has an experimental nature, but some features and properties of the approximation scheme are discussed.
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