Stochastic Generalized Nash Equilibrium-Seeking in Merely Monotone Games
نویسندگان
چکیده
We solve the stochastic generalized Nash equilibrium (SGNE) problem in merely monotone games with expected value cost functions. Specifically, we present first distributed SGNE-seeking algorithm for that require one proximal computation (e.g., projection step) and pseudogradient evaluation per iteration. Our main contribution is to extend relaxed forward–backward operator splitting by Malitsky (Mathematical Programming, 2019) case turn show almost sure convergence an SGNE when of approximated average over a number random samples.
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ژورنال
عنوان ژورنال: IEEE Transactions on Automatic Control
سال: 2022
ISSN: ['0018-9286', '1558-2523', '2334-3303']
DOI: https://doi.org/10.1109/tac.2021.3108496