A survey of GNE computation methods: theory and algorithms

Christophe Dutang (1, 2)

1 SAF - Laboratoire de Sciences Actuarielle et Financière
2 IRMA - Institut de Recherche Mathématique Avancée

This paper deals with optimization methods solving the generalized Nash equilibrium problem (GNEP), which extends the standard Nash problem by allowing constraints. Two cases are considered: general GNEPs where constraint functions are individualized and jointly convex GNEPs where there is a common constraint function. Most recent methods are benchmarked against new methods. Numerical illustrations are proposed with the same software for a fair benchmark.

Mots clés: Generalized Nash equilibrium problem; Semismooth equation; Fixed-point methods; Variational Inequality problem

Domaines: Optimisation et contrôle [math.OC]

Christophe Dutang. A survey of GNE computation methods: theory and algorithms. 2013. ⟨hal-00813531⟩