A new error bound result for Generalized Nash Equilibrium Problems and its algorithmic application

作者：Dreves Axel; Facchinei Francisco; Fischer Andreas; Herrich Markus^*

来源：Computational Optimization and Applications, 2014, 59(1-2): 63-84.

DOI：10.1007/s10589-013-9586-z

• Generalized Nash Equilibrium Problem
• Potential reduction algorithm
• LP-Newton method
• Global convergence
• Local quadratic convergence
• Local error bound condition

We present a new algorithm for the solution of Generalized Nash Equilibrium Problems. This hybrid method combines the robustness of a potential reduction algorithm and the local quadratic convergence rate of the LP-Newton method. We base our local convergence theory on a local error bound and provide a new sufficient condition for it to hold that is weaker than known ones. In particular, this condition implies neither local uniqueness of a solution nor strict complementarity. We also report promising numerical results.

• 出版日期2014-10