Distributed projected-reflected-gradient algorithms for stochastic generalized Nash equilibrium problems

20 Mar 2020 Barbara Franci Sergio Grammatico

We consider the stochastic generalized Nash equilibrium problem (SGNEP) with joint feasibility constraints and expected-value cost functions. We propose a distributed stochastic projected reflected gradient algorithm and show its almost sure convergence when the pseudogradient mapping is monotone and the solution is unique... (read more)

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Categories


  • OPTIMIZATION AND CONTROL
  • COMPUTER SCIENCE AND GAME THEORY
  • SYSTEMS AND CONTROL
  • SYSTEMS AND CONTROL