2021/05/12 by Ananduta, Wicak, Grammatico, Sergio
#47N10 #65K10 #FOS: Computer and information sciences #FOS: Electrical engineering #FOS: Mathematics #Multiagent Systems (cs.MA) #Optimization and Control (math.OC) #Systems and Control (eess.SY) #electronic engineering #information engineering
paper · doi:10.48550/arxiv.2105.05687
We consider the problem of computing a mixed-strategy generalized Nash equilibrium (MS-GNE) for a class of games where each agent has both continuous and integer decision variables. Specifically, we propose a novel Bregman forward-reflected-backward splitting and design distributed algorithms that exploit the problem structure. Technically, we prove convergence to a variational MS-GNE under mere monotonicity and Lipschitz continuity assumptions, which are typical of continuous GNE problems. Finally, we show the performance of our algorithms via numerical experiments.