A globalized Newton method for the computation of normalized Nash equilibria

A globalized Newton method for the computation of normalized Nash equilibria

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Article ID: iaor20134042
Volume: 56
Issue: 2
Start Page Number: 327
End Page Number: 340
Publication Date: Jun 2013
Journal: Journal of Global Optimization
Authors: , , ,
Keywords: global optimization, Newton method, Nash equilibrium
Abstract:

The generalized Nash equilibrium is a Nash game, where not only the players’ cost functions, but also the constraints of a player depend on the rival players decisions. We present a globally convergent algorithm that is suited for the computation of a normalized Nash equilibrium in the generalized Nash game with jointly convex constraints. The main tool is the regularized Nikaido–Isoda function as a basis for a locally convergent nonsmooth Newton method and, in another way, for the definition of a merit function for globalization. We conclude with some numerical results.

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