Stochastic generalized Nash equilibrium seeking under partial-decision information

Abstract

We consider for the first time a stochastic generalized Nash equilibrium problem, i.e., with expected-value cost functions and joint feasibility constraints, under partial-decision information, meaning that the agents communicate only with some trusted neighbors. We propose several distributed algorithms for network games and aggregative games that we show being special instances of a preconditioned forward–backward splitting method. We prove that the algorithms converge to a generalized Nash equilibrium when the forward operator is restricted cocoercive by using the stochastic approximation scheme with variance reduction to estimate the expected value of the pseudogradient.

Topics & Concepts