Differential variational inequality approach to dynamic games with shared constraints

The dynamic Nash equilibrium problem with shared constraints (NEPSC) involves a dynamic decision process withmultiple players, where not only the players’ cost functionals but also their admissible control sets depend on the rivals’ decision variables through shared constraints. For a class of the dynamic NEPSC, we propose a differential variational inequality formulation. Using this formulation, we show the existence of solutions of the dynamic NEPSC, and develop a regularized smoothing method to find a solution of it. We prove that the regularized smoothing method converges to the least norm solution of the differential variational inequality, which is a solution of the dynamic NEPSC as the regularization parameter λ and smoothing parameter μ go to zero with the order μ = o(λ). Numerical examples are given to illustrate the existence and convergence results.