NISOCSol an algorithm for approximating Markovian equilibria in dynamic games with coupled-constraints

In this report, we outline a method for approximating a Markovian (or feedback-Nash) equilibrium of a dynamic game, possibly subject to coupled-constraints. We treat such a game as a "multiple" optimal control problem. A method for approximating a solution to a given optimal control problem via backward induction on Markov chains was developed in Krawczyk (2006). A Markovian equilibrium may be obtained numerically by adapting this backward induction approach to a stage Nikaido-Isoda function (described in Krawczyk & Zuccollo (2006)).