We present an algorithm and a corresponding MATLAB numerical toolbox to solve any form of infinite-planning horizon affine linear quadratic open-loop differential games. By rewriting a specific application into the standard framework one can use the toolbox to calculate and verify the existence of both the open-loop non-cooperative Nash equilibrium (equilibria) and cooperative Pareto equilibrium (equilibria). In case there is more than one equilibrium for the non-cooperative case, the toolbox determines all solutions that can be implemented as a feedback strategy. Alternatively, the toolbox can apply a number of choice methods in order to discriminate between multiple equilibria. The user can predefine a set of coalition structures for which they would like to calculate the non-cooperative Nash solution(s). It is also possible to specify the relative importance of each player in any coalition structure. Furthermore, the toolbox offers plotting facilities as well as other options to analyse the outcome of the game. For instance, it is possible to disaggregate each player’s total loss into its contributing elements. The toolbox is available as a freeware from the authors of this paper.
Michalak, T., Engwerda, J. C., & Plasmans, J. E. J. (2011). A numerical toolbox to solve N-player affine LQ open-loop differential games. Computational Economics, 37(4), 375-410. https://doi.org/10.1007/s10614-011-9257-z