Abstract
We consider the stochastic generalized Nash equilibrium problem (SGNEP) with expected-value cost functions. Inspired by Yi and Pavel (2019), we propose a distributed generalized Nash equilibrium seeking algorithm based on the preconditioned forward-backward operator splitting for SGNEPs, where, at each iteration, the expected value of the pseudogradient is approximated via a number of random samples. Our main contribution is to show almost sure convergence of the proposed algorithm if the pseudogradient mapping is restricted (monotone and) cocoercive.
Original language | English |
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Pages (from-to) | 5467-5473 |
Journal | IEEE Transactions on Automatic Control |
Volume | 66 |
Issue number | 11 |
DOIs | |
Publication status | Published - 2021 |
Bibliographical note
Accepted Author ManuscriptKeywords
- Approximation algorithms
- Convergence
- Cost function
- Nash equilibrium
- Random variables
- stochastic approximation
- Stochastic generalized Nash equilibrium problems
- Stochastic processes
- Uncertainty
- variational inequalities