2019/10/25 by Barbara Franci, Franci, Barbara, Sergio Grammatico +1
Physics and Astronomy · #Advanced Thermodynamics and Statistical Mechanics #Computer Science and Game Theory (cs.GT) #FOS: Computer and information sciences #FOS: Electrical engineering #FOS: Mathematics #Optimization and Control (math.OC) #Systems and Control (eess.SY) #electronic engineering #information engineering
paper · pdf · doi:10.48550/arxiv.1910.11776
openalex publication_date 2019/10/25 · openalex created_date 2022/07/28 · openalex updated_date 2026/07/28
We consider a stochastic generalized Nash equilibrium problem (GNEP) with\nexpected-value cost functions. Inspired by Yi and Pavel (Automatica, 2019), we\npropose a distributed GNE seeking algorithm by exploiting the forward-backward\noperator splitting and a suitable preconditioning matrix. Specifically, we\napply this method to the stochastic GNEP, where, at each iteration, the\nexpected value of the pseudo-gradient is approximated via a number of random\nsamples. Our main contribution is to show almost sure convergence of our\nproposed algorithm if the sample size grows large enough.\n