A damped forward-backward algorithm for stochastic generalized Nash equilibrium seeking

10/25/2019
by   Barbara Franci, et al.
0

We consider a stochastic generalized Nash equilibrium problem (GNEP) with expected-value cost functions. Inspired by Yi and Pavel (Automatica, 2019), we propose a distributed GNE seeking algorithm by exploiting the forward-backward operator splitting and a suitable preconditioning matrix. Specifically, we apply this method to the stochastic GNEP, where, at each iteration, the expected value of the pseudo-gradient is approximated via a number of random samples. Our main contribution is to show almost sure convergence of our proposed algorithm if the sample size grows large enough.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset