Distributed Forward-Backward algorithms for stochastic generalized Nash equilibrium seeking

DOI10.1109/TAC.2020.3047369MaRDI QIDQ6330766arXivFDO

Authors Barbara Franci, Sergio Grammatico

Publication date 9 December 2019

Published in arXiv

Full work available at URL https://doi.org/10.1109/TAC.2020.3047369

Mathematics Subject Classification ID

Equilibrium refinements (91A11) Stochastic games, stochastic differential games (91A15)

arXiv classification

cs.GTmath.OC

Abstract: We consider the stochastic generalized Nash equilibrium problem (SGNEP) with expected-value cost functions. Inspired by Yi and Pavel (Automatica, 2019), we propose a distributed GNE seeking algorithm based on the preconditioned forward-backward operator splitting for SGNEP, where, at each iteration, the expected value of the pseudogradient is approximated via a number of random samples. As main contribution, we show almost sure convergence of our proposed algorithm if the pseudogradient mapping is restricted (monotone and) cocoercive. For non-generalized SNEPs, we show almost sure convergence also if the pseudogradient mapping is restricted strictly monotone. Numerical simulations show that the proposed forward-backward algorithm seems faster that other available algorithms.

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