A relaxed-inertial forward-backward-forward for stochastic generalized Nash equilibrium seeking

Research output: Contribution to conferencePosterAcademic

Abstract

We propose a new operator splitting algorithm for distributed Nash equilibrium seeking under stochastic uncertainty, featuring relaxation and inertial effects. The proposed algorithm is derived from a forward-backward-forward scheme for solving structured monotone inclusion problems with Lipschitz continuous and monotone pseudogradient operator. To the best of our knowledge, this is the first distributed generalized Nash equilibrium seeking algorithm featuring acceleration techniques in stochastic Nash equilibrium problems without assuming cocoercivity. Numerical examples illustrate the effect of inertia and relaxation on the performance of our proposed algorithm.

Original languageEnglish
Number of pages6
DOIs
Publication statusPublished - 2021
Event60th Conference on Decision and Control - Online, Austin, United States
Duration: 13 Dec 202117 Dec 2021
Conference number: 60
https://2021.ieeecdc.org/

Conference

Conference60th Conference on Decision and Control
Abbreviated titleCDC2021
Country/TerritoryUnited States
CityAustin
Period13/12/2117/12/21
Internet address

Keywords

  • GAMES

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