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.
|Title of host publication||Proceedings of the European Control Conference 2020, ECC 2020|
|Place of Publication||Piscataway, NJ, USA|
|Publication status||Published - 2020|
|Event||18th European Control Conference, ECC 2020 - Saint Petersburg, Russian Federation|
Duration: 12 May 2020 → 15 May 2020
|Conference||18th European Control Conference, ECC 2020|
|Period||12/05/20 → 15/05/20|