A globalized Newton method for the computation of normalized Nash equilibria

Axel Dreves (), Anna Heusinger (), Christian Kanzow () and Masao Fukushima ()

Journal of Global Optimization, 2013, vol. 56, issue 2, 327-340

Abstract: 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. Copyright Springer Science+Business Media, LLC. 2013

Keywords: Generalized Nash equilibrium problem; Regularized Nikaido–Isoda function; Nonsmooth Newton method; Global convergence; Superlinear convergence (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1007/s10898-011-9824-9

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