Numerical solution of an equilibrium problem of based on the generalized level method

E. G. Gol'shtein

Central Economics and Mathematics Institute, Russian Academy of Sciences, Nakhimovskii pr. 47, Moscow, 117418 Russia

Abstract: An equilibrium problem is studied whose special case is finding a Nash point in a noncooperative multiperson game. A numerical algorithm for solving this problem is described. Conditions on the problem are stated under which an estimate is obtained for the convergence rate of the algorithm to a unique solution of the problem. The results are used for a numerical analysis of noncooperative games.

Key words: equilibrium point, noncooperative game, Nash point, level method.

UDC: 519.626

Received: 01.11.2010

 English version: Computational Mathematics and Mathematical Physics, 2011, 51:9, 1483–1488

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