An Improved NIRA Algorithm of Nash Equilibrium and Its Application
Theoretical studies have shown that a relaxation algorithm can be used to find noncooperative equilibrium of synchronous infinite games with nonlinear payoff functions and coupled constraints based on Nikaido-Isoda function. In this study, this paper introduces an improvement to the Nash equilibrium algorithm with linear search step-size control. Compared with the other two choice of step-sizes, i.e constant step size and steepest-decent step-size, this algorithm performs a well balance between iterative steps and time efficiency. In the end of this paper, it provides a case study of financial investment in order to determine the optimal financial investment ratio by this algorithm.