Existence of equilibria in countable games: an algebraic approach

Although mixed extensions of finite games always admit equilibria, this is not the case for countable games, the best-known example being Wald's pick-the-larger-integer game. Several authors have provided conditions for the existence of equilibria in infinite games. These conditions are typically of topological nature and are rarely applicable to countable games. Here we establish an existence result for the equilibrium of countable games when the strategy sets are a countable group and the payoffs are functions of the group operation. In order to obtain the existence of equilibria, finitely additive mixed strategies have to be allowed. This creates a problem of selection of a product measure of mixed strategies. We propose a family of such selections and prove existence of an equilibrium that does not depend on the selection. As a byproduct we show that if finitely additive mixed strategies are allowed, then Wald's game admits an equilibrium. We also prove existence of equilibria for nontrivial extensions of matching-pennies and rock-scissors-paper. Finally we extend the main results to uncountable games

Adaptive high-order splitting schemes for large-scale differential Riccati equations

We consider high-order splitting schemes for large-scale differential Riccati equations. Such equations arise in many different areas and are especially important within the field of optimal control. In the large-scale case, it is critical to employ structural properties of the matrix-valued solution, or the computational cost and storage requirements become infeasible. Our main contribution is therefore to formulate these high-order splitting schemes in a efficient way by utilizing a low-rank factorization. Previous results indicated that this was impossible for methods of order higher than 2, but our new approach overcomes these difficulties. In addition, we demonstrate that the proposed methods contain natural embedded error estimates. These may be used e.g. for time step adaptivity, and our numerical experiments in this direction show promising results.Comment: 23 pages, 7 figure

Mathematics of Quantitative Finance

The workshop on Mathematics of Quantitative Finance, organised at the Mathematisches Forschungsinstitut Oberwolfach from 26 February to 4 March 2017, focused on cutting edge areas of mathematical finance, with an emphasis on the applicability of the new techniques and models presented by the participants

Key agreement: security / division

Some key agreement schemes, such as Diffie--Hellman key agreement, reduce to Rabi--Sherman key agreement, in which Alice sends $ab$ to Charlie, Charlie sends $bc$ to Alice, they agree on key $a(bc) = (ab)c$, where multiplicative notation here indicates some specialized associative binary operation. All non-interactive key agreement schemes, where each peer independently determines a single delivery to the other, reduce to this case, because the ability to agree implies the existence of an associative operation. By extending the associative operation’s domain, the key agreement scheme can be enveloped into a mathematical ring, such that all cryptographic values are ring elements, and all key agreement computations are ring multiplications. (A smaller envelope, a semigroup instead of a ring, is also possible.) Security relies on the difficulty of division: here, meaning an operator $/$ such that $((ab)/b)b = ab$. Security also relies on the difficulty of the less familiar wedge operation $[ab, b, bc] \mapsto abc$. When Rabi--Sherman key agreement is instantiated as Diffie--Hellman key agreement: its multiplication amounts to modular exponentiation; its division amounts to the discrete logarithm problem; the wedge operation amounts to the computational Diffie--Hellman problem. Ring theory is well-developed and implies efficient division algorithms in some specific rings, such as matrix rings over fields. Semigroup theory, though less widely-known, also implies efficient division in specific semigroups, such as group-like semigroups. The rarity of key agreement schemes with well-established security suggests that easy multiplication with difficult division (and wedges) is elusive. Reduction of key agreement to ring or semigroup multiplication is not a panacea for cryptanalysis. Nonetheless, novel proposals for key agreement perhaps ought to run the gauntlet of a checklist for vulnerability to well-known division strategies that generalize across several forms of multiplication. Ambitiously applying this process of elimination to a plethora of diverse rings or semigroups might also, if only by a fluke, leave standing a few promising schemes, which might then deserve a more focused cryptanalysis

H-∞ optimal actuator location

There is often freedom in choosing the location of actuators on systems governed by partial differential equations. The actuator locations should be selected in order to optimize the performance criterion of interest. The main focus of this thesis is to consider H-∞-performance with state-feedback. That is, both the controller and the actuator locations are chosen to minimize the effect of disturbances on the output of a full-information plant. Optimal H-∞-disturbance attenuation as a function of actuator location is used as the cost function. It is shown that the corresponding actuator location problem is well-posed. In practice, approximations are used to determine the optimal actuator location. Conditions for the convergence of optimal performance and the corresponding actuator location to the exact performance and location are provided. Examples are provided to illustrate that convergence may fail when these conditions are not satisfied. Systems of large model order arise in a number of situations; including approximation of partial differential equation models and power systems. The system descriptions are sparse when given in descriptor form but not when converted to standard first-order form. Numerical calculation of H-∞-attenuation involves iteratively solving large H-∞-algebraic Riccati equations (H-∞-AREs) given in the descriptor form. An iterative algorithm that preserves the sparsity of the system description to calculate the solutions of large H-∞-AREs is proposed. It is shown that the performance of our proposed algorithm is similar to a Schur method in many cases. However, on several examples, our algorithm is both faster and more accurate than other methods. The calculation of H-∞-optimal actuator locations is an additional layer of optimization over the calculation of optimal attenuation. An optimization algorithm to calculate H-∞-optimal actuator locations using a derivative-free method is proposed. The results are illustrated using several examples motivated by partial differential equation models that arise in control of vibration and diffusion