Abstract
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.
| Original language | English |
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| Title of host publication | Proceedings of the European Control Conference 2020, ECC 2020 |
| Place of Publication | Piscataway, NJ, USA |
| Publisher | IEEE |
| Pages | 1117-1122 |
| ISBN (Electronic) | 978-3-907144-01-5 |
| ISBN (Print) | 978-3-907144-02-2 |
| DOIs | |
| Publication status | Published - 2020 |
| Event | 18th European Control Conference, ECC 2020 - Saint Petersburg, Russian Federation Duration: 12 May 2020 → 15 May 2020 |
Conference
| Conference | 18th European Control Conference, ECC 2020 |
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| Country/Territory | Russian Federation |
| City | Saint Petersburg |
| Period | 12/05/20 → 15/05/20 |