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arXiv · 1910.11776

A damped forward-backward algorithm for stochastic generalized Nash equilibrium seeking

Barbara Franci·Sergio Grammatico
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Abstract

We consider a stochastic generalized Nash equilibrium problem (GNEP) with expected-value cost functions. Inspired by Yi and Pavel (Automatica, 2019), we propose a distributed GNE seeking algorithm by exploiting the forward-backward operator splitting and a suitable preconditioning matrix. Specifically, we apply this method to the stochastic GNEP, where, at each iteration, the expected value of the pseudo-gradient is approximated via a number of random samples. Our main contribution is to show almost sure convergence of our proposed algorithm if the sample size grows large enough.

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Barbara Franci, Sergio Grammatico. 2019-10-25. A damped forward-backward algorithm for stochastic generalized Nash equilibrium seeking. https://arxiv.org/abs/1910.11776

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