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: | Fukushima Masao, Kanzow Christian, Dreves Axel, Heusinger Anna |
Keywords: | global optimization, Newton method, Nash equilibrium |
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.