Noncooperative Game Strategy in Cyber-Financial Systems With Wiener and Poisson Random Fluctuations: LMIs-Constrained MOEA Approach
The financial market is a nonlinear stochastic system with continuous Wiener and discontinuous Poisson random fluctuations. Most managers or investors hope their investment policies to be with the not only high profit but also low risk. Managers and investors involved pursue their own interests whic...
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| Vydáno v: | IEEE transactions on cybernetics Ročník 48; číslo 12; s. 3323 - 3336 |
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| Hlavní autoři: | , , , |
| Médium: | Journal Article |
| Jazyk: | angličtina |
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United States
IEEE
01.12.2018
The Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
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| ISSN: | 2168-2267, 2168-2275, 2168-2275 |
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| Abstract | The financial market is a nonlinear stochastic system with continuous Wiener and discontinuous Poisson random fluctuations. Most managers or investors hope their investment policies to be with the not only high profit but also low risk. Managers and investors involved pursue their own interests which are partly conflicting with others. Stochastic game theory has been widely applied to multiperson noncooperative decision making problem of financial market. However, for the nonlinear stochastic financial system with random fluctuations, it still lacks an analytical or computational scheme to effectively solve the complex noncooperative game strategy design problem. In this paper, the stochastic multiperson noncooperative game strategy in cyber-financial systems is transformed to a multituple Hamilton-Jacobi-Isacc inequalities (HJIIs)-constrained multiobjective optimization problem (MOP). This HJIIs-constrained MOP solution is also found to be the Nash equilibrium solution of multiperson noncooperative game strategy in nonlinear stochastic financial systems. In order to simplify design procedure by the global linearization theory, a set of local linear systems are interpolated to approximate the nonlinear stochastic financial system so that the m-tuple HJIIs-constrained MOP for noncooperative game strategy of cyber-financial system could be converted to a linear matrix inequalities (LMIs)-constrained MOP. Finally, an LMIs-constrained multiobjective evolution algorithm is explored for effectively solving the multiperson noncooperative game strategy in cyber-financial systems. Two design examples are also given for the illustration of the design procedure and the performance validation of the proposed stochastic noncooperative investment strategy in the nonlinear stochastic financial systems. |
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| AbstractList | The financial market is a nonlinear stochastic system with continuous Wiener and discontinuous Poisson random fluctuations. Most managers or investors hope their investment policies to be with the not only high profit but also low risk. Managers and investors involved pursue their own interests which are partly conflicting with others. Stochastic game theory has been widely applied to multiperson noncooperative decision making problem of financial market. However, for the nonlinear stochastic financial system with random fluctuations, it still lacks an analytical or computational scheme to effectively solve the complex noncooperative game strategy design problem. In this paper, the stochastic multiperson noncooperative game strategy in cyber-financial systems is transformed to a multituple Hamilton-Jacobi-Isacc inequalities (HJIIs)-constrained multiobjective optimization problem (MOP). This HJIIs-constrained MOP solution is also found to be the Nash equilibrium solution of multiperson noncooperative game strategy in nonlinear stochastic financial systems. In order to simplify design procedure by the global linearization theory, a set of local linear systems are interpolated to approximate the nonlinear stochastic financial system so that the m-tuple HJIIs-constrained MOP for noncooperative game strategy of cyber-financial system could be converted to a linear matrix inequalities (LMIs)-constrained MOP. Finally, an LMIs-constrained multiobjective evolution algorithm is explored for effectively solving the multiperson noncooperative game strategy in cyber-financial systems. Two design examples are also given for the illustration of the design procedure and the performance validation of the proposed stochastic noncooperative investment strategy in the nonlinear stochastic financial systems. The financial market is a nonlinear stochastic system with continuous Wiener and discontinuous Poisson random fluctuations. Most managers or investors hope their investment policies to be with the not only high profit but also low risk. Managers and investors involved pursue their own interests which are partly conflicting with others. Stochastic game theory has been widely applied to multiperson noncooperative decision making problem of financial market. However, for the nonlinear stochastic financial system with random fluctuations, it still lacks an analytical or computational scheme to effectively solve the complex noncooperative game strategy design problem. In this paper, the stochastic multiperson noncooperative game strategy in cyber-financial systems is transformed to a multituple Hamilton-Jacobi-Isacc inequalities (HJIIs)-constrained multiobjective optimization problem (MOP). This HJIIs-constrained MOP solution is also found to be the Nash equilibrium solution of multiperson noncooperative game strategy in nonlinear stochastic financial systems. In order to simplify design procedure by the global linearization theory, a set of local linear systems are interpolated to approximate the nonlinear stochastic financial system so that the m-tuple HJIIs-constrained MOP for noncooperative game strategy of cyber-financial system could be converted to a linear matrix inequalities (LMIs)-constrained MOP. Finally, an LMIs-constrained multiobjective evolution algorithm is explored for effectively solving the multiperson noncooperative game strategy in cyber-financial systems. Two design examples are also given for the illustration of the design procedure and the performance validation of the proposed stochastic noncooperative investment strategy in the nonlinear stochastic financial systems.The financial market is a nonlinear stochastic system with continuous Wiener and discontinuous Poisson random fluctuations. Most managers or investors hope their investment policies to be with the not only high profit but also low risk. Managers and investors involved pursue their own interests which are partly conflicting with others. Stochastic game theory has been widely applied to multiperson noncooperative decision making problem of financial market. However, for the nonlinear stochastic financial system with random fluctuations, it still lacks an analytical or computational scheme to effectively solve the complex noncooperative game strategy design problem. In this paper, the stochastic multiperson noncooperative game strategy in cyber-financial systems is transformed to a multituple Hamilton-Jacobi-Isacc inequalities (HJIIs)-constrained multiobjective optimization problem (MOP). This HJIIs-constrained MOP solution is also found to be the Nash equilibrium solution of multiperson noncooperative game strategy in nonlinear stochastic financial systems. In order to simplify design procedure by the global linearization theory, a set of local linear systems are interpolated to approximate the nonlinear stochastic financial system so that the m-tuple HJIIs-constrained MOP for noncooperative game strategy of cyber-financial system could be converted to a linear matrix inequalities (LMIs)-constrained MOP. Finally, an LMIs-constrained multiobjective evolution algorithm is explored for effectively solving the multiperson noncooperative game strategy in cyber-financial systems. Two design examples are also given for the illustration of the design procedure and the performance validation of the proposed stochastic noncooperative investment strategy in the nonlinear stochastic financial systems. |
| Author | Yang , Chun-Tao Chen, Wei-Yu Chen, Bor-Sen Yan, Zhiguo |
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| SubjectTerms | Cyber-financial system Decision making Decision theory Design engineering Economic models Evolutionary algorithms Evolutionary computation Game theory Investment strategy Linear matrix inequalities Linear systems Linearization Markets Mathematical analysis Matrix methods multiobjective evolutionary algorithm (MOEA) multiobjective optimization problem (MOP) multiperson noncooperative decision making Multiple objective analysis Nash equilibrium Nash equilibrium solution Nonlinear systems stochastic noncooperative game strategy Stochastic processes Stochastic systems System effectiveness Variation |
| Title | Noncooperative Game Strategy in Cyber-Financial Systems With Wiener and Poisson Random Fluctuations: LMIs-Constrained MOEA Approach |
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