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Distributed generalized Nash equilibria computation of monotone games via a preconditioned proximal point algorithm

机译:单调游戏的分布式广义Nash均衡计算   通过预处理的近点算法

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摘要

In this paper, we investigate distributed generalized Nash equilibrium (GNE)computation of monotone games with affine coupling constraints. Each player canonly utilize its local objective function, local feasible set and a local blockof the coupling constraint, and can only communicate with its neighbours. Weassume the game has monotone pseudo-subdifferential without Lipschitzcontinuity restrictions. We design novel center-free distributed GNE seekingalgorithms for equality and inequality affine coupling constraints,respectively. A proximal alternating direction method of multipliers(ADMM) isproposed for the equality case, while for the inequality case, a parallelsplitting type algorithm is proposed. In both algorithms, the GNE seeking taskis decomposed into a sequential NE computation of regularized subgames anddistributed update of multipliers and auxiliary variables, based on local dataand local communication. Our two double-layer GNE algorithms need not specifythe inner-loop NE seeking algorithm and moreover, only require that thestrongly monotone subgames are inexactly solved. We prove their convergence byshowing that the two algorithms can be seen as specific instances ofpreconditioned proximal point algorithms} (PPPA) for finding zeros of monotoneoperators. Applications and numerical simulations are given for illustration.
机译:在本文中,我们研究了具有仿射耦合约束的单调游戏的分布式广义纳什均衡(GNE)计算。每个参与者只能利用其本地目标函数,本地可行集和耦合约束的本地块,并且只能与其邻居通信。假设游戏具有单调伪亚微分而没有Lipschitzcontinuity限制。我们分别针对相等性和不等式仿射耦合约束设计了新颖的无中心分布式GNE搜索算法。针对等式提出了一种近端交替方向乘数法(ADMM),对于不等式提出了一种并行分裂式算法。在这两种算法中,基于本地数据和本地通信,GNE寻找任务都分解为规则化子游戏的顺序NE计算以及乘数和辅助变量的分布式更新。我们的两个双层GNE算法不需要指定内环网元搜索算法,而且只要求不完全求解强单调子游戏。通过证明这两种算法可以看作是查找单调运算符零的预处理近点算法(PPPA)的特定实例,证明了它们的收敛性。给出了应用程序和数值模拟以进行说明。

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    Yi, Peng; Pavel, Lacra;

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  • 年度 2017
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