Adaptive expectations and dynamic adjustment in noncooperative games with incomplete information

This paper is concerned with the analysis of a Nash equilibrium of a noncooperative game. It can be shown that, without complete information about the other players' objectives or interests, the group of players, as a whole, can reach a Nash equilibrium by adopting a class of adaptive expectation and dynamic adjustment processes. It is shown that, if the expectation and adjustment processes are made continuously, the stability of the overall dynamic process is independent of the specific mechanisms of the expectation and the adjustment, but depends on the properties of each player's objective or payoff function. If, however, expectation and adjustment processes are made at discrete time intervals, the stability of the discrete process depends on the speed of adjustment chosen by each player.This research was supported by ONR Contract No. N00014-75-C-0738. The authors are indebted to the referee for several valuable comments and suggestions for improvement.     

On the convergence of policy iteration for controlled diffusions

The convergence of an approximation scheme known as policy iteration has been demonstrated for controlled diffusions by Fleming, Puterman, and Bismut. In this paper, we show that this approximation scheme is equivalent to the Newton-Kantorovich iteration for solving the optimality equation and exploit this equivalence to obtain a new proof of convergence. Estimates of the rate of convergence of this procedure are also obtained.This research was partially supported by NRC Grant No. A-3609.     

Manufacturing technology policy and deployment of processing innovations

This is a report of a study on the evolution of manufacturing technology policy during the deployment of domestic advanced manufacturing systems in thirty-four plants and two panels of data collection separated by one year. Changing firm environment was significantly correlated with pioneering product introduction business strategy (p<0.05). More importantly, it was found that manufacturing technology policy is significantly (p<0.05) associated with pioneering business strategy. Further, findings indicate that fine-tuning or modest adjustment in this policy (versus doing nothing or drastic change) was significantly (p<0.05) associated with the maximum levels of reported utilization of these new systems in a subsample of second panel, complete data cases (n=21). This curvilinear relationship between the absolute value of changes in technology policy and performance measure did not hold for the percentage of target cycle time achieved nor uptime, although results concerning performance are considered preliminary at the time of this writing. Advertising this processing technology tends to be inversely related to the radicalness of the technology incorporated into the system (p=0.076) during the deployment period tracked thus far. That is, firms installing more radical systems tend to become very cautious about sharing information about the project once installation begins.     

On a new class of multiplicative pseudo-random number generators

In the computing literature, there are few detailed analytical studies of the global statistical characteristics of a class of multiplicative pseudo-random number generators.We comment briefly on normal numbers and study analytically the approximately uniform discrete distribution or (j,)-normality in the sense of Besicovitch for complete periods of fractional parts {x _{0 1} ⁱ /p} on [0, 1] fori=0, 1,..., (p–1)p^–1–1, i.e. in current terminology, generators given byx _{n+1 1} x _n mod p wheren=0, 1,..., (p–1)p ^–1–1,p is any odd prime, (x ₀,p)=1, ₁ is a primitive root modp ², and 1 is any positive integer.We derive the expectationsE(X, ),E(X ², ),E(X _nX_n+k); the varianceV(X, ), and the serial correlation coefficient k. By means of Dedekind sums and some results of H. Rademacher, we investigate the asymptotic properties of k for various lagsk and integers 1 and give numerical illustrations. For the frequently used case =1, we find comparable results to estimates of Coveyou and Jansson as well as a mathematical demonstration of a so-called rule of thumb related to the choice of ₁ for small k.Due to the number of parameters in this class of generators, it may be possible to obtain increased control over the statistical behavior of these pseudo-random sequences both analytically as well as computationally.     

Optimal control of diffusion processes with reflection

In this paper, we consider the problem of optimally controlling a diffusion process on a closed bounded region ofR ⁿ with reflection at the boundary. Employing methods similar to Fleming (Ref. 1), we present a constructive proof that there exists an optimal Markov control that is measurable or lower semicontinuous. We prove further that the expected cost function corresponding to the optimal control is the unique solution of the quasilinear parabolic differential equation of dynamic programming with Neumann boundary conditions and that there exists a diffusion process (in the sense of Stroock and Varadhan) corresponding to the optimal control.This work was partially supported by the National Science Foundation, Grant No. GK-18339, by the Office of Naval Research, Grant No. NR-042-264, and by the National Research Council of Canada, Grant No. A3609.The author would like to thank S. R. Pliska, J. Pisa, and N. Trudinger for helpful suggestions. He is especially grateful to Professor A. F. Veinott, Jr., for help and advice in the preparation of the doctoral dissertation, on which part of this paper is based. Finally, he wishes to thank one of the referees for the careful reading and constructive comments on an earlier version of this paper.     

$${\cal K}$$-Convexity1 in $$\Re^{n}$$

We generalize the concept of K-convexity to an n-dimensional Euclidean space. The resulting concept of -convexity is useful in addressing production and inventory problems where there are individual product setup costs and/or joint setup costs. We derive some basic properties of -convex functions. We conclude the paper with some suggestions for future research. Support from Columbia University and University of Texas at Dallas is gratefully acknowledged. Helpful comments from Qi Feng are appreciated.     

Simple plant location under uniform delivered pricing

Given a geographical system of demand functions, the simple-plant location problem under uniform delivered pricing consists in determining the delivered price taken as uniform for all customers, the number, the locations, the sizes and the market areas of the plants which supply these customers, in order to maximize the profit of the firm. A model is proposed, which allows, moreover, to integrate some aspects of the commercial policy of the firm, i.e., its decision to satisfy all markets with positive demands or profitable markets only, or to allow a maximum unit loss or require a minimum unit gain on each served market. An efficient algorithm is presented and illustrated by an example. Computational results with a code using recursively Erlenkotter's DUALOC program as a subroutine are summarized.     

Integration of direct limits of real random variables

In our preceding paper [1], we have studied the fundamental properties of the direct limits of measure spaces. The present article is devoted to the study of the integration of direct limits of direct systems of real measurable functions, and in particular, of direct limits of systems of real random variables. These results will be useful in the stochastic calculus whenever the direct limit theory is essentially employed.     

Political aspects of environmental policy

To the economist, many environmental problems are really allocation problems which can be solved by means of market prices that should approximate the shadow prices of environmental restrictions. Why is it so difficult to implement the corresponding institutional arrangements politically?     

The Hadamard determinant inequality — Extensions to operators on a Hilbert space

A generalization of classical determinant inequalities like Hadamard's inequality and Fischer's inequality is studied. For a version of the inequalities originally proved by Arveson for positive operators in von Neumann algebras with a tracial state, we give a different proof. We also improve and generalize to the setting of finite von Neumann algebras, some ‘Fischer-type’ inequalities by Matic for determinants of perturbed positive-definite matrices. In the process, a conceptual framework is established for viewing these inequalities as manifestations of Jensen's inequality in conjunction with the theory of operator monotone and operator convex functions on $[0,\infty )$. We place emphasis on documenting necessary and sufficient conditions for equality to hold.