Dynamic General Equilibrium Modelling: Computational Methods and Applications

Book Description

Modern business cycle theory and growth theory uses stochastic dynamic general equilibrium models. Many mathematical tools are needed to solve these models. The book presents various methods for computing the dynamics of general equilibrium models. In part I, the representative-agent stochastic growth model is solved with the help of value function iteration, linear and linear quadratic approximation methods, parameterised expectations and projection methods. In order to apply these methods, fundamentals from numerical analysis are reviewed in detail. Part II discusses methods for solving heterogeneous-agent economies. In such economies, the distribution of the individual state variables is endogenous. This part of the book also serves as an introduction to the modern theory of distribution economics. Applications include the dynamics of the income distribution over the business cycle or the overlapping-generations model. Through an accompanying home page to this book, computer codes to all applications can be downloaded.

H-Infinity Optimal Control and Related Minimax Design Problems: A Dynamic Game Approach (Systems & Control: Foundations & Applications)

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H-Infinity Optimal Control and Related Minimax Design Problems: A Dynamic Game Approach (Systems & Control: Foundations & Applications)
Tamer Basar , and Pierre Bernhard
Manufacturer: Birkhäuser Boston
ProductGroup: Book
Binding: Hardcover

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ASIN: 0817638148

Book Description

One of the major concentrated activities of the past decade in control theory has been the development of the so-called 'H-infinity-optimal control theory', which addresses the issue of worst-case controller design for linear plants subject to unknown disturbances and plant uncertainties.

This second edition features a more streamlined presentation of the results included in the first edition and also contains substantial new material, reflecting new developments in the field since 1991. Among these are the nonlinear theory; connections between H-infinity-optimal control and risk sensitive stochastic control problems; H-infinity filtering for linear and nonlinear systems; and robustness considerations in the presence of regular and singular perturbations. Also included are a rather detailed description of the relationship between frequency-and time-domain approaches to robust controller design, and a complete set of results on the existence of value and characterization of optimal policies in finite- and infinite-horizon LQ differential games.

Book Description

This collection of selected contributions gives an account of recent developments in dynamic game theory and its applications, covering both theoretical advances and new applications of dynamic games in such areas as pursuit-evasion games, ecology, and economics. Written by experts in their respective disciplines, the chapters are an outgrowth of presentations from the 11th International Symposium on Dynamic Games and Applications.

Key topics covered include:

* stochastic and differential games

* dynamic games and their applications in various areas, such as ecology and economics

* numerical methods and algorithms in dynamic games

* zero- and nonzero-sum games

* pursuit-evasion games

* evolutionary game theory and applications

The work will serve as a state-of-the art account of recent advances in dynamic game theory and its applications for researchers, practitioners, and advanced students in applied mathematics, mathematical finance, and engineering.

Optimal Control and Dynamic Games: Applications in Finance, Management Science and Economics (Advances in Computational Management Science) (Advances in Computational Management Science)

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Optimal Control and Dynamic Games: Applications in Finance, Management Science and Economics (Advances in Computational Management Science) (Advances in Computational Management Science)

Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

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ASIN: 0387258043

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Optimal Control and Dynamic Games has been edited to honor the outstanding contributions of Professor Suresh Sethi in the fields of Applied Optimal Control. Professor Sethi is internationally one of the foremost experts in this field. He is, among others, co-author of the popular textbook "Sethi and Thompson: Optimal Control Theory: Applications to Management Science and Economics". The book consists of a collection of essays by some of the best known scientists in the field, covering diverse aspects of applications of optimal control and dynamic games to problems in Finance, Management Science, Economics, and Operations Research. In doing so, it provides both a state-of-the-art overview over recent developments in the field, and a reference work covering the wide variety of contemporary questions that can be addressed with optimal control tools, and demonstrates the fruitfulness of the methodology.

New Trends in Dynamic Games and Applications: Annals of the International Society of Dynamic Games Volume 3 (Annals of the International Society of Dynamic Games)

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New Trends in Dynamic Games and Applications: Annals of the International Society of Dynamic Games Volume 3 (Annals of the International Society of Dynamic Games)

Manufacturer: Birkhäuser Boston
ProductGroup: Book
Binding: Hardcover

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ASIN: 0817638121

Book Description

Dynamic game theory has found applications in almost every scientific discipline that uses mathematical modeling tools to investigate ideas and solve problems. Growing from a rich assortment of theoretical concepts, applications abound to other areas of mathematics as well as to economics, biology, management science, engineering and many other fields of study. The papers included in this volume demonstrate this diversity in dynamical games, both with respect to theory and applications and are grouped in five areas: -Zero-sum games: minimax control - H-infinity aspects, incomplete (deterministic) information, problems with slow and fast dynamics -Zero-sum games: pursuit evasion - Air control problems, relationship with symbolic programming, neural networks - Zero-sum games: solution methods - Numerical approaches via clever discretization schemes and viscosity solutions - Nonzero-sum games: theory - Turnpike theorems, Riccati equations for Nash solutions, dynamic bargaining, cooperative games - Nonzero-sum games: applications - economic, management, and biological games

Book Description

This book provides the fundamentals of dynamic optimization which can be used to improve the performance of engineering systems. Most results are derived using the theory of calculus of variations. The methods are illustrated by a number of examples. Numerical implementation of the theory by direct and indirect methods is also described. Computer programs are provided that can be used to work out engineering problems. The book also introduces some new results in dynamic optimization using higher-order approaches. The book is appropriate for undergraduate seniors or first-year graduate students. It should also be of interest to professionals in the areas of automotive, aerospace, or manufacturing engineering. Students and researchers in the areas of systems theory, control, and optimization will benefit from the relatively simple exposition in this book.

Advances in Dynamic Games and Applications (Annals of the International Society of Dynamic Games)

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Advances in Dynamic Games and Applications (Annals of the International Society of Dynamic Games)

Manufacturer: Birkhauser
ProductGroup: Book
Binding: Hardcover

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ASIN: 0817636919

Book Description

Recent years have witnessed a surge of activity in the field of dynamic games, in both theory and applications. Theoretical as well as practical problems in zero-sum and nonzero-sum games, continuous time differential games and discrete time multistage games, and deterministic and stochastic games are currently being investigated by researchers in diverse disciplines, such as engineering, mathematics, biology, economics, management science, and political science. This surge of interest has led to the formation of the International Society of Dynamic Games (ISDG) in 1990, whose primary goal is to foster the development of advanced research and applications in the field of game theory. One important activity of the Society is to organize biannually an international symposium which aims at bringing together the researchers who contribute to the development of this active field of applied science. In 1992 such a symposium was held in Grimentz, Switzerland. This book, which is the first volume in the new series, Annals of Dynamic Games, is based on selected presentations made at this symposium. It is, however, not simply a book of proceedings for a conference. Every paper that appears in this volume has passed through a very selective refereeing process, as in an archival technical journal. This makes this first volume of the Annals of Dynamic Games a quality publication that presents a timely account of the state of the art in this dynamic field.

Book Description

This book focuses on various aspects of dynamic game theory, presenting state-of-the-art research and serving as a guide to the vitality and growth of the field and its applications. The selected chapters, written by experts in their respective disciplines, are an outgrowth of presentations originally given at the 9 ^th International Symposium of Dynamic Games and Applications. Featured throughout are useful tools for researchers and practitioners who use game theory for modeling in many disciplines.

Major topics covered include:

* repeated and stochastic games

* differential dynamic games

* optimal stopping games

* applications of dynamic games to economics, finance, and queuing theory

* numerical methods and algorithms for solving dynamic games

* Parrondo’s games and related topics

A valuable reference for practitioners and researchers in dynamic game theory, the book and its diverse applications will also benefit researchers and graduate students in applied mathematics, economics, engineering, systems and control, and environmental science.

Advances in Dynamic Games: Applications to Economics, Management Science, Engineering, and Environmental Management (Annals of the International Society of Dynamic Games)

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Reports Presented at a Symposium

Advances in Dynamic Games: Applications to Economics, Management Science, Engineering, and Environmental Management (Annals of the International Society of Dynamic Games)

Manufacturer: Birkhäuser Boston
ProductGroup: Book
Binding: Hardcover

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ASIN: 0817645004

Book Description

The paradigms of dynamic games play an important role in the development of multi-agent models in engineering, economics, and management science. The applicability of their concepts stems from the ability to encompass situations with uncertainty, incomplete information, fluctuating coalition structure, and coupled constraints imposed on the strategies of all the players. This book—an outgrowth of the 10 ^th International Symposium on Dynamic Games—presents current developments of the theory of dynamic games and its applications to various domains, in particular energy-environment economics and management sciences.

The volume uses dynamic game models of various sorts to approach and solve several problems pertaining to pursuit-evasion, marketing, finance, climate and environmental economics, resource exploitation, as well as auditing and tax evasions. In addition, it includes some chapters on cooperative games, which are increasingly drawing dynamic approaches to their classical solutions.

The book is thematically organized into six parts:

* zero-sum game theory

* pursuit-evasion games

* games of coalitions

* new interpretations of the interdependence between different members of a social group

* original applications to energy-environment economics

* management science applications

This work will serve as a state-of-the art account of recent advances in dynamic game theory and its applications for researchers, practitioners, and graduate students in applied mathematics, engineering, economics, as well as environmental and management sciences.

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Reports Presented at a Symposium.......2006-09-27

The development in recent years of the theory of dynamic games has resulted in discovering that the theory of dynamic games has applications in several areas outside game playing.

For instance, in zero-sum stochastic games the players do not observe the progress of the game fully, but only in bits and pieces. This is the same situation normally found in business, the military, environmental studies, and certainly in economics. The managers in any of these has to make decision based on partial knowledge, some of which may be wrong.

This book looks at game theory in the light of expanding the theory into real life situations where recent advances offer the potential of shedding light into decision making. It is an edited book, with authors from around the world that presented papers at the 10th International Symposium on Dynamic Games held in St. Petersburg, Russia. As such, this is not a book for the beginner in game theory as it presents new advances assuming that the reader has a basis of understanding in game theory.

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Advances in Dynamic Games and Applications (Annals of the International Society of Dynamic Games)

Manufacturer: Birkhauser
ProductGroup: Book
Binding: Hardcover

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Book Description

Modern game theory has evolved enormously since its inception in the 1920s in the works of Borel and Neumann. The branch of game theory known as dynamic games descended from the pioneering work on differential games by Isaacs. Since those early development decades, game theory has had significant impact in such diverse disciplines as applied mathematics, economics, systems theory, control engineering, operations research, ecology and the environmental sciences.

This new edited book focuses on various aspects of dynamic game theory, providing authoritative, state-of-the-art information and serving as a guide to the vitality of the field and its applications. The chapters are based on presentations at the 7th International Symposium on Dynamic Games and Applications held in Kanagawa, Japan. A variety of topics of current interest are presented.

Topics and Features:

Robust control design and H-infinity Pursuit-evasion games Coupled dynamic and stochastic games Recent game-theoretic developments Selected applications in ecology and environmental science

The book offers an ideal survey of recent developments and advances in dynamic games and their applications. It is a valuable resource for all dynamic game practitioners researchers and professionals in the fields of applied mathematics, operations research, economics, systems and control and environmental sciences.

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