Perturbation Analysis of Stochastic Hybrid Systems and Applications to Some Non-Cooperative Games

We establish some conditions under which Infinitesimal Perturbation Analysis (IPA) for general Stochastic Hybrid Systems (SHS) becomes particularly simple and efficient. We then apply IPA to a class of stochastic non-cooperative games termed “resource contention games” modeled through Stochastic Flow Models (SFMs), where two or more players (users) compete for the use of a sharable resource. Simulation examples are provided for a simple version of such games to illustrate and contrast system-centric and user-centric optimization.