Randomized Lagrangian stochastic approximation for large-scale constrained stochastic Nash games

DOI10.1007/s11590-023-02079-5arXiv2304.07688MaRDI QIDQ6191973

Afrooz Jalilzadeh, Zeinab Alizadeh, Farzad Yousefian

Publication date: 11 March 2024

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2304.07688

zbMATH Keywords

constrained optimizationstochastic approximationLagrangian dual methodgeneralized Nash gamesstochastic Nash game

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the ergodic convergence rates of a first-order primal-dual algorithm
• Subgradient methods for saddle-point problems
• Monotone (nonlinear) operators in Hilbert space
• An existence theorem for the complementarity problem
• On smoothing, regularization, and averaging in stochastic approximation methods for stochastic variational inequality problems
• On stochastic mirror-prox algorithms for stochastic Cartesian variational inequalities: randomized block coordinate and optimal averaging schemes
• Smooth methods of multipliers for complementarity problems
• An interior-proximal method for convex linearly constrained problems and its extension to variational inequalities
• A fast stochastic approximation-based subgradient extragradient algorithm with variance reduction for solving stochastic variational inequality problems
• Dual variational inequalities
• Non-cooperative games
• Using EPECs to Model Bilevel Games in Restructured Electricity Markets with Locational Prices
• Accelerating Block-Decomposition First-Order Methods for Solving Composite Saddle-Point and Two-Player Nash Equilibrium Problems
• An Accelerated HPE-Type Algorithm for a Class of Composite Convex-Concave Saddle-Point Problems
• Robust Stochastic Approximation Approach to Stochastic Programming
• Convergence Rates in Forward--Backward Splitting
• Engineering and Economic Applications of Complementarity Problems
• A Generalized Proximal Point Algorithm for the Variational Inequality Problem in a Hilbert Space
• Lagrangian Duality and Related Multiplier Methods for Variational Inequality Problems
• An accelerated non-Euclidean hybrid proximal extragradient-type algorithm for convex–concave saddle-point problems
• Variance-Based Extragradient Methods with Line Search for Stochastic Variational Inequalities
• Game-Theoretic Power Allocation and the Nash Equilibrium Analysis for a Multistatic MIMO Radar Network
• Proximal extrapolated gradient methods for variational inequalities
• Prox-Method with Rate of Convergence O(1/t) for Variational Inequalities with Lipschitz Continuous Monotone Operators and Smooth Convex-Concave Saddle Point Problems
• Finite-Dimensional Variational Inequalities and Complementarity Problems
• Distributed Computation of Equilibria in Monotone Nash Games via Iterative Regularization Techniques
• Stochastic Approximation Approaches to the Stochastic Variational Inequality Problem
• A Primal-Dual Algorithm with Line Search for General Convex-Concave Saddle Point Problems
• Accelerated Stochastic Algorithms for Convex-Concave Saddle-Point Problems
• Primal-Dual Stochastic Gradient Method for Convex Programs with Many Functional Constraints
• A Method with Convergence Rates for Optimization Problems with Variational Inequality Constraints
• Solving variational inequalities with Stochastic Mirror-Prox algorithm
• Regularized Iterative Stochastic Approximation Methods for Stochastic Variational Inequality Problems
• The Approximation of Fixed Points of a Continuous Mapping
• Extragradient Method with Variance Reduction for Stochastic Variational Inequalities
• Generalized Nash equilibrium problems
• Learning generalized Nash equilibria in monotone games: a hybrid adaptive extremum seeking control approach

This page was built for publication: Randomized Lagrangian stochastic approximation for large-scale constrained stochastic Nash games