| Title |
Stochastinės Nešo pusiausvyros paieškos algoritmas / |
| Another Title |
An algorithm for the search of the stochastic Nash equilibrium. |
| Authors |
Dumskis, Valerijonas ; Sakalauskas, Leonidas |
| Full Text |
|
| Is Part of |
Jaunųjų mokslininkų darbai.. Šiauliai : Šiaulių universitetas. 2014, nr. 1, p. 112-116.. ISSN 1648-8776 |
| Keywords [eng] |
Stochastic Nash equilibrium ; Monte-Carlo method ; Convergence |
| Abstract [eng] |
In this paper we consider the stochastic Nash equilibrium problem with uncertainty described by absolutely continuous distribution. An iterated algorithm based on finite sequences of Monte-Carlo samples is introduced to solve the problem. A rule for adjusting the Monte-Carlo sample size is introduced to ensure the convergence and to solve the problem rationally. Optimality and accuracy of the solution are estimated on statistical criteria: a testing of the statistical hypothesis of the problem optimality and a calculation of the length of confidence interval of the objective function. |
| Published |
Šiauliai : Šiaulių universitetas |
| Type |
Journal article |
| Language |
Lithuanian |
| Publication date |
2014 |
