Fiscal Year	2023
Division	Research & Sponsored Programs
Department	Naval Research Program
Investigator(s)	Mun, Johnathan C.
Sponsor	NPS Naval Research Program (Navy)
Summary	This is Phase II follow-up from risk-based decision analysis in capital budgeting and stochastic portfolio optimization. The research purpose is to propose novel, reusable, extensible, adaptable, and comprehensive advanced analytical processes employing strategic game theory with Integrated Risk Management to help the DOD with capital budgeting under uncertainty, with Monte Carlo risk-simulation, predictive analytics, and stochastic portfolio optimization of acquisitions and programs portfolios with multiple competing stakeholders while subject to budgetary, risk, schedule, and strategic constraints. Game theory applications will include areas of repeated finite and infinite games with complete and incomplete information in strategic and extended forms. The research approach will include, when appropriate, theoretical mathematical formulations, recommended data collection/integration, optimization approaches, as well as practical implementation recommendations to test the benefits and viability of the proposed approach to generate optimal budget allocations and strategies informed by the reactions of other nations or internal players (U.S. Congress, organizations within DOD). The PI is an expert in modeling uncertainty and risk-based stochastic portfolio optimization decision analytics and strategic real options and game theoretical constructs. Whenever appropriate, strategic and extended forms will be applied. The assumption in game theory includes rationality of the decision makers and updated information using Bayes¿ law. The idea is to analyze Bertrand, Cournot, Nash equilibrium with pure and mixed strategies with dominant and dominated conditions in repeated games to determine the recommended method. We use military SMEs to determine probabilistic payoff structures engaged in sequential and simultaneous moves to identify equilibrium states in the main game tree to subgame perfect Nash equilibrium as worked-out examples and illustrations of the approach. Deliverables include a written report, Excel files, and relevant scripts as they are generated in the research.
Keywords	game theory, budget, optimization, decision making under uncertainty
Publications	Publications, theses (not shown) and data repositories will be added to the portal record when information is available in FAIRS and brought back to the portal
Data	Publications, theses (not shown) and data repositories will be added to the portal record when information is available in FAIRS and brought back to the portal