TY - GEN
T1 - Optimal decision-making under uncertainties
AU - Tadjouddine, Emmanuel M.
AU - Wu, Xiaoyi
PY - 2012
Y1 - 2012
N2 - We consider stochastic games wherein players are striving to make optimal decisions but their decisions are subject to mistakes or random shocks. We assume that the players make decisions in the direction of higher payoffs and yet they are in a uncertain environment. The dynamics of this kind of evolutionary games can be described by stochastic differential equations, which are solved and the payoffs are calculated using a Monte Carlo simulation. Then, sensitivities are evaluated so as to assess the impact of changes in decisions. Numerical results have shown that noisy environments can lead to important payoff variations and higher payoff sensitivities with respect to a player's decisions. We also discussed equilibrium concepts that may result from the players' abilities to learn from mistakes and adopt successful strategies.
AB - We consider stochastic games wherein players are striving to make optimal decisions but their decisions are subject to mistakes or random shocks. We assume that the players make decisions in the direction of higher payoffs and yet they are in a uncertain environment. The dynamics of this kind of evolutionary games can be described by stochastic differential equations, which are solved and the payoffs are calculated using a Monte Carlo simulation. Then, sensitivities are evaluated so as to assess the impact of changes in decisions. Numerical results have shown that noisy environments can lead to important payoff variations and higher payoff sensitivities with respect to a player's decisions. We also discussed equilibrium concepts that may result from the players' abilities to learn from mistakes and adopt successful strategies.
KW - logit equilibrium
KW - sensitivity analysis
KW - stochastic differential equations
KW - stochastic games
UR - http://www.scopus.com/inward/record.url?scp=84872969256&partnerID=8YFLogxK
U2 - 10.1109/FSKD.2012.6234236
DO - 10.1109/FSKD.2012.6234236
M3 - Conference Proceeding
AN - SCOPUS:84872969256
SN - 9781467300223
T3 - Proceedings - 2012 9th International Conference on Fuzzy Systems and Knowledge Discovery, FSKD 2012
SP - 491
EP - 496
BT - Proceedings - 2012 9th International Conference on Fuzzy Systems and Knowledge Discovery, FSKD 2012
T2 - 2012 9th International Conference on Fuzzy Systems and Knowledge Discovery, FSKD 2012
Y2 - 29 May 2012 through 31 May 2012
ER -