11,362 research outputs found
Minority Games, Local Interactions, and Endogenous Networks
In this paper we study a local version of the Minority Game where agents are placed on the nodes of a directed graph. Agents care about beingin the minority of the group of agents they are currently linked to and employ myopic best-reply rules to choose their next-period state. We show that, in this benchmark case, the smaller the size of local networks, the larger long-run population-average payoffs. We then explore the collective behavior of the system when agents can: (i) assign weights to each link they hold and modify them over time in response to payoff signals; (ii) delete badly-performing links (i.e. opponents) and replace them with randomly chosen ones. Simulations suggest that, when agents are allowed to weight links but cannot delete/replace them, the system self-organizes into networked clusters which attain very high payoff values. These clustered configurations are not stable and can be easily disrupted, generating huge subsequent payoff drops. If however agents can (and are sufficiently willing to) discard badly performing connections, the system quickly converges to stable states where all agents get the highest payoff, independently of the size of the networks initially in placeMinority Games, Local Interactions, Non-Directed Graphs, Endogenous Networks, Adaptive Systems.
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Stochastic programming and scenario generation within a simulation framework : An information systems perspective
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Software tools for stochastic programming: A Stochastic Programming Integrated Environment (SPInE)
SP models combine the paradigm of dynamic linear programming with
modelling of random parameters, providing optimal decisions which hedge
against future uncertainties. Advances in hardware as well as software
techniques and solution methods have made SP a viable optimisation tool.
We identify a growing need for modelling systems which support the creation
and investigation of SP problems. Our SPInE system integrates a number of
components which include a flexible modelling tool (based on stochastic
extensions of the algebraic modelling languages AMPL and MPL), stochastic
solvers, as well as special purpose scenario generators and database tools.
We introduce an asset/liability management model and illustrate how SPInE
can be used to create and process this model as a multistage SP application
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