Stochastic Generalized Nash Equilibrium-Seeking in Merely Monotone Games
Barbara Franci (TU Delft - Team Sergio Grammatico)
Sergio Grammatico (TU Delft - Team Bart De Schutter, TU Delft - Team Sergio Grammatico)
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Abstract
We solve the stochastic generalized Nash equilibrium (SGNE) problem in merely monotone games with expected value cost functions. Specifically, we present the first distributed SGNE-seeking algorithm for monotone games that require one proximal computation (e.g., one projection step) and one pseudogradient evaluation per iteration. Our main contribution is to extend the relaxed forward–backward operator splitting by the Malitsky (Mathematical Programming, 2019) to the stochastic case and in turn to show almost sure convergence to an SGNE when the expected value of the pseudogradient is approximated by the average over a number of random samples.