The generalized Nash equilibrium problem (GNEP) is an extension of the classical Nash equilibrium problem where both the objective functions and the constraints of each player may depend on the rivals' strategies. This class of problems has a multitude of important engineering applications, and yet solution algorithms are extremely scarce. In this paper, we analyze in detail a globally convergent penalty method that has favorable theoretical properties. We also consider strengthened results for a particular subclass of problems very often considered in the literature. Basically our method reduces the GNEP to a single penalized (and nonsmooth) Nash equilibrium problem. We suggest a suitable method for the solution of the latter penalized problem and present extensive numerical results. © 2010 Society for Industrial and Applied Mathematics.
Scheda prodotto non validato
Attenzione! I dati visualizzati non sono stati sottoposti a validazione da parte dell'ateneo
|Titolo:||Penalty methods for the solution of generalized Nash equilibrium problems|
|Data di pubblicazione:||2010|
|Appartiene alla tipologia:||01a Articolo in rivista|