Augmented Lagrangian methods for the solution of generalized Nash equilibrium problems

DOI10.1137/16M1068256MaRDI QIDQ2826819zbMATH OpenFDO

Authors Christian Kanzow, Daniel Steck

Publication date 11 October 2016

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.04474

zbMATH Keywords

algorithmaugmented Lagrangian methodgeneralized Nash equilibrium problemglobal convergencejointly convex problemNash equilibrium problemnumerical result

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Convex programming (90C25) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)

Abstract: We propose an augmented Lagrangian-type algorithm for the solution of generalized Nash equilibrium problems (GNEPs). Specifically, we discuss the convergence properties with regard to both feasibility and optimality of limit points. This is done by introducing a secondary GNEP as a new optimality concept. In this context, special consideration is given to the role of suitable constraint qualifications that take into account the particular structure of GNEPs. Furthermore, we consider the behaviour of the method for jointly-convex GNEPs and describe a modification which is tailored towards the computation of variational equilibria. Numerical results are included to illustrate the practical performance of the overall method.

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Cited in

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