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A Distributed Forward–Backward Algorithm for Stochastic Generalized Nash Equilibrium Seeking.
- Source :
-
IEEE Transactions on Automatic Control . Nov2021, Vol. 66 Issue 11, p5467-5473. 7p. - Publication Year :
- 2021
-
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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 00189286
- Volume :
- 66
- Issue :
- 11
- Database :
- Academic Search Index
- Journal :
- IEEE Transactions on Automatic Control
- Publication Type :
- Periodical
- Accession number :
- 153732339
- Full Text :
- https://doi.org/10.1109/TAC.2020.3047369