An extremum seeking algorithm for monotone Nash equilibrium problems
Systems and Control
2021-09-17 v1 Systems and Control
Optimization and Control
Abstract
In this paper we consider the problem of finding a Nash equilibrium (NE) via zeroth-order feedback information in games with merely monotone pseudogradient mapping. Based on hybrid system theory, we propose a novel extremum seeking algorithm which converges to the set of Nash equilibria in a semi-global practical sense. Finally, we present two simulation examples. The first shows that the standard extremum seeking algorithm fails, while ours succeeds in reaching NE. In the second, we simulate an allocation problem with fixed demand.
Cite
@article{arxiv.2109.07975,
title = {An extremum seeking algorithm for monotone Nash equilibrium problems},
author = {Suad Krilašević and Sergio Grammatico},
journal= {arXiv preprint arXiv:2109.07975},
year = {2021}
}