Stochastic Generalized Dynamic Games with Coupled Chance Constraints

Abstract

This paper investigates stochastic generalized dynamic games with coupling chance constraints, where agents have incomplete information about uncertainties satisfying a concentration of measure property. This problem, in general, is non-convex and NP-hard. To address this, we propose a convex under-approximation by replacing chance constraints with tightened expected-value constraints, yielding a tractable game. We prove the existence of a stochastic generalized Nash equilibrium (SGNE) in this new game and show that its variational SGNE is an $\boldsymbol{\varepsilon}$-SGNE for the original game, with $\boldsymbol{\varepsilon}$ expressed via the approximation errors and Lagrange multipliers. A semi-decentralized, sampling-based algorithm with time-varying step sizes is developed, requiring no prior knowledge of the uncertainty distribution or expectation evaluations. Unlike existing methods, it avoids step-size tuning based on Lipschitz constants or adaptive rules. Under standard assumptions on the pseudo-gradient, the algorithm converges almost surely to an SGNE.