A distributed primaldual algorithm for computation of generalized Nash equilibria with shared affine coupling constraints via operator splitting methods
Abstract
In this paper, we propose a distributed primaldual algorithm for computation of a generalized Nash equilibrium (GNE) in noncooperative games over network systems. In the considered game, not only each player's local objective function depends on other players' decisions, but also the feasible decision sets of all the players are coupled together with a globally shared affine inequality constraint. Adopting the variational GNE, that is the solution of a variational inequality, as a refinement of GNE, we introduce a primaldual algorithm that players can use to seek it in a distributed manner. Each player only needs to know its local objective function, local feasible set, and a local block of the affine constraint. Meanwhile, each player only needs to observe the decisions on which its local objective function explicitly depends through the interference graph and share information related to multipliers with its neighbors through a multiplier graph. Through a primaldual analysis and an augmentation of variables, we reformulate the problem as finding the zeros of a sum of monotone operators. Our distributed primaldual algorithm is based on forwardbackward operator splitting methods. We prove its convergence to the variational GNE for fixed stepsizes under some mild assumptions. Then a distributed algorithm with inertia is also introduced and analyzed for variational GNE seeking. Finally, numerical simulations for network Cournot competition are given to illustrate the algorithm efficiency and performance.
 Publication:

arXiv eprints
 Pub Date:
 March 2017
 arXiv:
 arXiv:1703.05388
 Bibcode:
 2017arXiv170305388Y
 Keywords:

 Mathematics  Optimization and Control;
 Computer Science  Computer Science and Game Theory;
 Electrical Engineering and Systems Science  Systems and Control
 EPrint:
 21 pages,8 figures, parts are submitted to IEEE CDC