On The Convergence of a Nash Seeking Algorithm with Stochastic State Dependent Payoff

A. F. Hanif , Hamidou Tembine , M. Assaad , Djamal Zeghlache (1)

1 TSP - RS2M - Département Réseaux et Services Multimédia Mobiles

Distributed strategic learning has been getting attention in recent years. As systems become distributed finding Nash equilibria in a distributed fashion is becoming more important for various applications. In this paper, we develop a distributed strategic learning framework for seeking Nash equilibria under stochastic state-dependent payoff functions. We extend the work of Krstic et.al. in [1] to the case of stochastic state dependent payoff functions. We develop an iterative distributed algorithm for Nash seeking and examine its convergence to a limiting trajectory defined by an Ordinary Differential Equation (ODE). We show convergence of our proposed algorithm for vanishing step size and provide an error bound for fixed step size. Finally, we conduct a stability analysis and apply the proposed scheme in a generic wireless networks. We also present numerical results which corroborate our claim.

Domaines: Optimisation et contrôle [math.OC]; Systèmes dynamiques [math.DS]; Analyse numérique [math.NA]; Machine Learning [stat.ML]

A. F. Hanif, Hamidou Tembine, M. Assaad, Djamal Zeghlache. On The Convergence of a Nash Seeking Algorithm with Stochastic State Dependent Payoff. 2012. ⟨hal-00786046⟩