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Inexact Newton Method for Solving Generalized Nash Equilibrium Problems
Journal of Optimization Theory and Applications ( IF 1.9 ) Pub Date : 2024-03-21 , DOI: 10.1007/s10957-024-02411-8
Abhishek Singh , Debdas Ghosh , Qamrul Hasan Ansari

In this article, we present an inexact Newton method to solve generalized Nash equilibrium problems (GNEPs). Two types of GNEPs are studied: player convex and jointly convex. We reformulate the GNEP into an unconstrained optimization problem using a complementarity function and solve it by the proposed method. It is found that the proposed numerical scheme has the global convergence property for both types of GNEPs. The strong BD-regularity assumption for the reformulated system of GNEP plays a crucial role in global convergence. In fact, the strong BD-regularity assumption and a suitable choice of a forcing sequence expedite the inexact Newton method to Q-quadratic convergence. The efficiency of the proposed numerical scheme is shown for a collection of problems, including the realistic internet switching problem, where selfish users generate traffic. A comparison of the proposed method with the existing semi-smooth Newton method II for GNEP is provided, which indicates that the proposed scheme is more efficient.



中文翻译:

求解广义纳什均衡问题的不精确牛顿法

在本文中,我们提出了一种不精确的牛顿方法来解决广义纳什均衡问题(GNEP)。研究了两种类型的 GNEP:玩家凸和联合凸。我们使用互补函数将 GNEP 重新表述为无约束优化问题,并通过所提出的方法对其进行求解。结果发现,所提出的数值格式对于两种类型的 GNEP 都具有全局收敛性。重新制定的 GNEP 体系的强 BD 正则性假设在全球收敛中发挥着至关重要的作用。事实上,强BD正则性假设和适当选择的强制序列加速了不精确牛顿法的Q二次收敛。所提出的数值方案的效率针对一系列问题得到了证明,包括现实的互联网切换问题,其中自私的用户产生流量。将所提出的方法与现有的 GNEP 半光滑牛顿法 II 进行比较,表明所提出的方案更加有效。

更新日期:2024-03-22
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