ON A NEW ITERATIVE ALGORITHM FOR FINDING THE SOLUTIONS OF GAMES AND LINEAR PROGRAMMING PROBLEMS
RAND CORP SANTA MONICA CA
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The aim is to obtain a procedure which converges more rapidly than either the statistical method of Brown, or the differential equation approach of Brown and von Neumann. A variant of the differential equation approach which converges more rapidly than the original is presented. Carrying this approach to its logical limit a process with an exponential rate of convergence is obtained. The discrete analogue, obtained by replacing the differential equation by a difference equation, furnishes the new iterative algorithm.
- Operations Research