Archivio Istituzionale della RicercaWe consider the stochastic generalized Nash equilibrium problem (SGNEP) with expected-value cost functions. Inspired by Yi and Pavel (2019), we propose a distributed generalized Nash equilibrium seeking algorithm based on the preconditioned forward-backward operator splitting for SGNEPs, where, at each iteration, the expected value of the pseudogradient is approximated via a number of random samples. Our main contribution is to show almost sure convergence of the proposed algorithm if the pseudogradient mapping is restricted (monotone and) cocoercive.
A distributed Forward–Backward Algorithm for stochastic generalized Nash equilibrium seeking / Franci, Barbara; Grammatico, Sergio. - In: IEEE TRANSACTIONS ON AUTOMATIC CONTROL. - ISSN 0018-9286. - 66:11(2021), pp. 5467-5473. [10.1109/tac.2020.3047369]
A distributed Forward–Backward Algorithm for stochastic generalized Nash equilibrium seeking
Franci, Barbara;
2021
Abstract
We consider the stochastic generalized Nash equilibrium problem (SGNEP) with expected-value cost functions. Inspired by Yi and Pavel (2019), we propose a distributed generalized Nash equilibrium seeking algorithm based on the preconditioned forward-backward operator splitting for SGNEPs, where, at each iteration, the expected value of the pseudogradient is approximated via a number of random samples. Our main contribution is to show almost sure convergence of the proposed algorithm if the pseudogradient mapping is restricted (monotone and) cocoercive.
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https://hdl.handle.net/11583/3003588
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