TY - GEN
T1 - A randomized inexact proximal best-response scheme for potential stochastic nash games
AU - Lei, Jinlong
AU - Shanbhag, Uday V.
N1 - Publisher Copyright:
© 2017 IEEE.
PY - 2017/6/28
Y1 - 2017/6/28
N2 - This paper considers a stochastic potential game in which each player solves a parameterized stochastic convex optimization problem. We propose a randomized inexact best-response (BR) scheme to compute the Nash equilibrium (NE). In each iteration, while the other players keep their strategies invariant, a single player is randomly chosen to update its equilibrium strategy by computing an inexact proximal BR by solving a player-specific stochastic program since exact solutions are generally unavailable in finite time. By imposing suitable conditions on the inexactness sequences, we prove the almost sure (a.s.) convergence and mean convergence of the iterates generated by the scheme to an NE. Finally, we present some preliminary numerics on the problem of congestion control.
AB - This paper considers a stochastic potential game in which each player solves a parameterized stochastic convex optimization problem. We propose a randomized inexact best-response (BR) scheme to compute the Nash equilibrium (NE). In each iteration, while the other players keep their strategies invariant, a single player is randomly chosen to update its equilibrium strategy by computing an inexact proximal BR by solving a player-specific stochastic program since exact solutions are generally unavailable in finite time. By imposing suitable conditions on the inexactness sequences, we prove the almost sure (a.s.) convergence and mean convergence of the iterates generated by the scheme to an NE. Finally, we present some preliminary numerics on the problem of congestion control.
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U2 - 10.1109/CDC.2017.8263886
DO - 10.1109/CDC.2017.8263886
M3 - Conference contribution
AN - SCOPUS:85046128493
T3 - 2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017
SP - 1646
EP - 1651
BT - 2017 IEEE 56th Annual Conference on Decision and Control, CDC 2017
PB - Institute of Electrical and Electronics Engineers Inc.
T2 - 56th IEEE Annual Conference on Decision and Control, CDC 2017
Y2 - 12 December 2017 through 15 December 2017
ER -