scholarly journals Avoiding the curse of dimensionality in dynamic stochastic games

10.3982/qe153 ◽  
2012 ◽  
Vol 3 (1) ◽  
pp. 53-93 ◽  
Author(s):  
Ulrich Doraszelski ◽  
Kenneth L. Judd
Keyword(s):  
Stochastic Games ◽  
Curse Of Dimensionality ◽  
Dynamic Stochastic

Dynamic stochastic games with random moves

2018 ◽  
Vol 17 (1) ◽  
pp. 59-79 ◽  
Author(s):  
Ulrich Doraszelski ◽  
Kenneth L. Judd
Keyword(s):  
Stochastic Games ◽  
Dynamic Stochastic

Computational Methods in Environmental and Resource Economics

2019 ◽  
Vol 11 (1) ◽  
pp. 59-82 ◽  
Author(s):  
Yongyang Cai
Keyword(s):  
Computational Methods ◽  
Real Option ◽  
Resource Economics ◽  
Bilevel Optimization ◽  
Curse Of Dimensionality ◽  
Computational Method ◽  
Computational Techniques ◽  
Deterministic Models ◽  
Environmental And Resource Economics ◽  
Dynamic Stochastic

Computational methods are required to solve problems without closed-form solutions in environmental and resource economics. Efficiency, stability, and accuracy are key elements for computational methods. This review discusses state-of-the-art computational methods applied in environmental and resource economics, including optimal control methods for deterministic models, advances in value function iteration and time iteration for general dynamic stochastic problems, nonlinear certainty equivalent approximation, robust decision making, real option analysis, bilevel optimization, solution methods for continuous time problems, and so on. This review also clarifies the so-called curse of dimensionality, and discusses some computational techniques such as approximation methods without the curse of dimensionality and time-dependent approximation domains. Many existing economic models use simplifying and/or unrealistic assumptions with an excuse of computational feasibility, but these assumptions might be able to be relaxed if we choose an efficient computational method discussed in this review.

DYNAMIC STOCHASTIC GAMES OF RESOURCE ALLOCATION BETWEEN PRODUCTION AND CONSUMPTION

1999 ◽  
Vol 01 (02) ◽  
pp. 149-158 ◽  
Author(s):  
VICTOR DOMANSKY
Keyword(s):  
Resource Allocation ◽  
Nash Equilibria ◽  
Stochastic Games ◽  
Public Utility ◽  
Production Functions ◽  
Multistage Processes ◽  
Production And Consumption ◽  
Dynamic Stochastic

Controlled by several agents, multistage processes of resource allocation between production and consumption with random production functions are considered as non-cooperative dynamic stochastic games. For these games, the Nash Equilibria are constructed satisfying the criteria of maximisation of some kind of "public utility". Both finite and infinite horizons of planning are examined.

scholarly journals A User's Guide to Solving Dynamic Stochastic Games Using the Homotopy Method

2008 ◽  
Author(s):  
Ron N. Borkovsky ◽  
Ulrich Doraszelski ◽  
Yaroslav (Steve) Kryukov
Keyword(s):  
Stochastic Games ◽  
Homotopy Method ◽  
Dynamic Stochastic

scholarly journals Protocol invariance and the timing of decisions in dynamic games

2019 ◽  
Vol 14 (2) ◽  
pp. 597-646
Author(s):  
Ulrich Doraszelski ◽  
Juan F. Escobar
Keyword(s):  
Research And Development ◽  
Repeated Games ◽  
Dynamic Games ◽  
Stochastic Games ◽  
Industry Dynamics ◽  
Extant Literature ◽  
Markov Perfect ◽  
Dynamic Stochastic ◽  
Perfect Equilibria

We characterize a class of dynamic stochastic games that we call separable dynamic games with noisy transitions and establish that these widely used models are protocol invariant provided that periods are sufficiently short. Protocol invariance means that the set of Markov perfect equilibria is nearly the same irrespective of the order in which players are assumed to move within a period. Protocol invariance can facilitate applied work, and renders the implications and predictions of a model more robust. Our class of dynamic stochastic games includes investment games, research and development races, models of industry dynamics, dynamic public contribution games, asynchronously repeated games, and many other models from the extant literature.

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