Computing all solutions of linear generalized Nash equilibrium problems

Computing all solutions of linear generalized Nash equilibrium problems

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Article ID: iaor20173006
Volume: 85
Issue: 2
Start Page Number: 207
End Page Number: 221
Publication Date: Apr 2017
Journal: Mathematical Methods of Operations Research
Authors:
Keywords: economics, financial
Abstract:

In this paper we consider linear generalized Nash equilibrium problems, i.e., the cost and the constraint functions of all players in a game are assumed to be linear. Exploiting duality theory, we design an algorithm that is able to compute the entire solution set of these problems and that terminates after finite time. We present numerical results on some academic examples as well as some economic market models to show effectiveness of our algorithm in small dimensions.

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