Integral global optimization method for nonlinear games

DOI10.1016/0898-1221(91)90169-5MaRDI QIDQ805506zbMATH OpenOpenAlexFDO

Authors E. A. Galperin, Quan Zheng

Publication date 1991

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(91)90169-5

zbMATH Keywords

derivative-free methodgames with uncertaintiesintegral global optimization algorithmnon-convex continuous games

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Applications of mathematical programming (90C90) 2-person games (91A05)

Review text

A new, derivative-free method is proposed for the solution of non-convex continuous games defined over compact robust sets that may be disconnected and with nonsmooth boundary. The method is based on the integral global optimization algorithm for mathematical programming and it does not employ gradient-based techniques nor the notion of convexity. On this basis, certain iterative algorithms are developed for which convergence theorems are proved. The algorithms provide complete exact solutions of the game irrespective of the existence of saddle points. Finally, games with uncertainties are introduced and the applicability of the method and of the algorithms to such games is demonstrated.

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Cited in

(2)

• A Global Optimization Approach to Nonzero Sum Six-Person Game
• Integral global optimization method for differential games with application to pursuit-evasion games

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