A distributed Bregman forward-backward algorithm for a class of Nash equilibrium problems
Wicak Ananduta (TU Delft - Mechanical Engineering)
Sergio Grammatico (TU Delft - Mechanical Engineering, TU Delft - Mechanical Engineering)
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Abstract
We present a distributed Nash equilibrium seeking method based on the Bregman forward-backward splitting, which allows us to have a mirror mapping instead of the standard projection as the backward operator. Our main technical contribution is to show convergence to a Nash equilibrium when the game has cocoercive pseudogradient mapping. Furthermore, when the feasible sets of the agents are simplices, a suitable choice of a Legendre function results in an exponentiated pseudogradient method, which, in our numerical experience, performs out the standard projected pseudogradient and dual averaging methods.
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