Search results for "Computer Science::Computer Science and Game Theory"
showing 7 items of 87 documents
Introspection and equilibrium selection in 2 � 2 matrix games
1994
Game theory lacks an explanation of how players' beliefs are formed and why they are in equilibrium. This is the reason why it has failed to make significant advances with the problem of equilibrium selection even for quite siniple games, as 2x2 games with two strict Nash equilibria. Our paper models the introspection process by which the selected equilibrium is achieved in this class of games. Players begin their analysis with imprecise priors, obtained under weak restrictions formulated as Axioms. For a large class of reasoning dynamics we obtain as the solution the risk dominant Nash equilibrium.
Pricing of Forwards and Options in a Multivariate Non-Gaussian Stochastic Volatility Model for Energy Markets
2013
In Benth and Vos (2013) we introduced a multivariate spot price model with stochastic volatility for energy markets which captures characteristic features, such as price spikes, mean reversion, stochastic volatility, and inverse leverage effect as well as dependencies between commodities. In this paper we derive the forward price dynamics based on our multivariate spot price model, providing a very flexible structure for the forward curves, including contango, backwardation, and hump shape. Moreover, a Fourier transform-based method to price options on the forward is described.
Characterization of the Clarke regularity of subanalytic sets
2017
International audience; In this note, we will show that for a closed subanalytic subset $A \subset \mathbb{R}^n$, the Clarke tangential regularity of $A$ at $x_0 \in A$ is equivalent to the coincidence of the Clarke's tangent cone to $A$ at $x_0$ with the set \\$$\mathcal{L}(A, x_0):= \bigg\{\dot{c}_+(0) \in \mathbb{R}^n: \, c:[0,1]\longrightarrow A\;\;\mbox{\it is Lipschitz}, \, c(0)=x_0\bigg\}.$$Where $\dot{c}_+(0)$ denotes the right-strict derivative of $c$ at $0$. The results obtained are used to show that the Clarke regularity of the epigraph of a function may be characterized by a new formula of the Clarke subdifferential of that function.
Distributed n-player approachability via time and space average consensus
2012
Abstract In this paper we consider repeated coalitional games with transferable utilities (TU) over networks. Namely, we consider a set of n players that have to distribute among themselves a vector of rewards (one for each player). In our network version there is no coordinator allocating the rewards, but the agents have to agree on a common time-averaged vector by updating the local estimates of the reward vector. The common time-averaged reward vector has to approach a suitable constraint set, called core of the game, that guarantees that no agents benefit from quitting the grand coalition. We propose a doubly (over time and space) averaging distributed algorithm. At every iteration, eac…
Energy efficient resource allocation in heterogeneous software defined network: A reverse combinatorial auction approach
2015
In this paper, resource allocation for energy effi- ciency in heterogeneous Software Defined Network (SDN) with multiple network service providers (NSPs) is studied. The considered problem is modeled as a reverse combinatorial auction game, which takes different quality of service (QoS) requirements into account. The heterogeneous network selection associated with power allocation problem is optimized by maximizing the energy efficiency of data transmission. By exploiting the properties of fractional programming, the resulting non-convex Winner Determination Problem (WDP) is transformed into an equivalent subtractive convex optimization problem. The proposed reverse combinatorial auction ga…
On the local and global regularity of tug-of-war games
2018
This thesis studies local and global regularity properties of a stochastic two-player zero-sum game called tug-of-war. In particular, we study value functions of the game locally as well as globally, that is, close to the boundaries of the game domains. Furthermore, we formulate a continuous time stochastic differential game and discuss, among other things, the equicontinuity of the families of value functions. The main motivation is to understand the properties of the games on their own right. As applications, we obtain an existence and a regularity result for a nonlinear elliptic p-Laplace type partial differential equation and a characterization of the solution to a parabolic p-Laplace typ…
Asymptotic Lipschitz regularity for tug-of-war games with varying probabilities
2018
We prove an asymptotic Lipschitz estimate for value functions of tug-of-war games with varying probabilities defined in $\Omega\subset \mathbb R^n$. The method of the proof is based on a game-theoretic idea to estimate the value of a related game defined in $\Omega\times \Omega$ via couplings.