Bregman algorithms for mixed-strategy generalized Nash equilibrium seeking in a class of mixed-integer games
Optimization and Control
2022-06-14 v3 Multiagent Systems
Systems and Control
Systems and Control
Abstract
We consider the problem of computing a mixed-strategy generalized Nash equilibrium (MS-GNE) for a class of games where each agent has both continuous and integer decision variables. Specifically, we propose a novel Bregman forward-reflected-backward splitting and design distributed algorithms that exploit the problem structure. Technically, we prove convergence to a variational MS-GNE under mere monotonicity and Lipschitz continuity assumptions, which are typical of continuous GNE problems. Finally, we show the performance of our algorithms via numerical experiments.
Cite
@article{arxiv.2105.05687,
title = {Bregman algorithms for mixed-strategy generalized Nash equilibrium seeking in a class of mixed-integer games},
author = {Wicak Ananduta and Sergio Grammatico},
journal= {arXiv preprint arXiv:2105.05687},
year = {2022}
}