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Computation of Cournot-Nash equilibria by entropic regularization

Blanchet, Adrien; Carlier, Guillaume; Nenna, Luca (2018), Computation of Cournot-Nash equilibria by entropic regularization, Vietnam Journal of Mathematics, 46, 1, p. 15-31. 10.1007/s10013-017-0255-x

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Type
Article accepté pour publication ou publié
Date
2018
Journal name
Vietnam Journal of Mathematics
Volume
46
Number
1
Pages
15-31
Publication identifier
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Author(s)
Blanchet, Adrien

Carlier, Guillaume
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Nenna, Luca
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Abstract (EN)
We consider a class of games with continuum of players where equilibria can be obtained by the minimization of a certain functional related to optimal transport as emphasized in [7]. We then use the powerful entropic regularization technique to approximate the problem and solve it numerically in various cases. We also consider the extension to some models with several populations of players.
Subjects / Keywords
Cournot-Nash equilibria; optimal transport; entropic regularization