Repeated Games Algorithm
■ Description
This page hosts
rgsolve,
a Java implementation of Dilip Abreu and Yuliy Sannikov’s
algorithm for computing equilibrium payoffs of two-player
infinitely repeated discounted games with perfect monitoring and
public randomization. The program was developed by Dilip
Abreu, Benjamin Brooks, Richard Katzwer, Yuliy Sannikov, and Rohit
Lamba. The Java implementation was written by Richard
Katzwer.
To use the program package, simply download the zip file
rgsolve.zip.
* The
rgsolve
user guide [.pdf] is in this folder, but can also be
accessed
here.
The following is a demonstration of how the algorithm works, for
the example depicted above. With a discount factor of 0.3, the
algorithm takes 50 iterations and 0.013 seconds to converge. The
image below shows the first four iterations. The criterion for
convergence is that the extreme points do not move by more than
2.2e(-16).
■ Links
Some rgsolve resources
can be found here,
including
rgsolve is based on
algorithms found in the following papers:
- Dilip Abreu and Yuliy Sannikov, "An algorithm for two player
repeated games with perfect monitoring". Theoretical Economics,
2013 [T.E.]
- Dilip Abreu, David Pearce and Ennio Stachetti, "Toward a
Theory of Discounted Repeated Games with Imperfect
Monitoring". Econometrica,
Vol 58, No. 5 (Sep. 1990), pp. 1041-1063. [jstor].
■ Contact
Feel free to contact us at
babrooks@princeton.edu
rkatzwer@princeton.edu
* rgsolve
is written in 100% Java, and has been tested on Java 6 and Java
7 on Windows, Mac and Linux machines. To download install
a Java Runtime Environment, go here.