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An improved two-step method for solving generalized Nash equilibrium problems

delete2012-02-01
delete39
PRE
AI
韩
韩德仁 (Deren Han) *
张
张洪超 (Hongchao Zhang)
钱
钱钢 (Gang Qian)
L
Lingling Xu
DOI:10.1016/j.ejor.2011.08.008delete
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摘要

摘要

En 中文
The generalized Nash equilibrium problem (GNEP) is a noncooperative game in which the strategy set of each player, as well as his payoff function, depend on the rival players strategies. As a generalization of the standard Nash equilibrium problem (NEP), the GNEP has recently drawn much attention due to its capability of modeling a number of interesting conflict situations in, for example, an electricity market and an international pollution control. In this paper, we propose an improved two-step (a prediction step and a correction step) method for solving the quasi-variational inequality (QVI) formulation of the GNEP. Per iteration, we first do a projection onto the feasible set defined by the current iterate (prediction) to get a trial point; then, we perform another projection step (correction) to obtain the new iterate. Under certain assumptions, we prove the global convergence of the new algorithm. We also present some numerical results to illustrate the ability of our method, which indicate that our method outperforms the most recent projection-like methods of Zhang et al. (2010). (C) 2011 Elsevier B.V. All rights reserved.
Keyword:
Convex programming
Generalized Nash equilibrium
Quasi-variational inequality problems
Two-step methods
Projection methods
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期刊

European Journal of Operational Research 封面图
European Journal of Operational Research
IF:
6
论文数:
2.2W
被引数:
6.4W

机构

N
Nanjing Normal University
学者数:
1.7W
论文数: 1.3W
被引数: 1.9W
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