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Nonsmooth optimization reformulations characterizing all solutions of jointly convex generalized Nash equilibrium problems

机译:非光滑优化公式,描述了联合凸广义纳什均衡问题的所有解

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摘要

Generalized Nash equilibrium problems (GNEPs) allow, in contrast to standard Nash equilibrium problems, a dependence of the strategy space of one player from the decisions of the other players. In this paper, we consider jointly convex GNEPs which form an important subclass of the general GNEPs. Based on a regularized Nikaido-Isoda function, we present two (nonsmooth) reformulations of this class of GNEPs, one reformulation being a constrained optimization problem and the other one being an unconstrained optimization problem. While most approaches in the literature compute only a so-called normalized Nash equilibrium, which is a subset of all solutions, our two approaches have the property that their minima characterize the set of all solutions of a GNEP. We also investigate the smoothness properties of our two optimization problems and show that both problems are continuous under a Slater-type condition and, in fact, piecewise continuously differentiable under the constant rank constraint qualification. Finally, we present some numerical results based on our unconstrained optimization reformulation.
机译:与标准纳什均衡问题相比,广义纳什均衡问题(GNEP)允许一个参与者的策略空间与另一参与者的决策相关。在本文中,我们将共同考虑凸GNEP,它们构成了一般GNEP的重要子类。基于正则化的Nikaido-Isoda函数,我们给出了这类GNEP的两种(非平滑)重构,一种重构是约束优化问题,另一种是无约束优化问题。虽然文献中的大多数方法仅计算所谓的归一化Nash平衡,这是所有解决方案的子集,但我们的两种方法具有以下特性:它们的最小值表征了GNEP的所有解决方案的集合。我们还研究了我们两个优化问题的光滑性,并表明这两个问题在Slater型条件下都是连续的,实际上,在恒定秩约束条件下,分段是连续可微的。最后,基于无约束的优化公式,我们给出了一些数值结果。

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