A decomposition method based on penalization for solving generalized Nash equilibrium problems
Yingying Wei, Lingling Xu, Deren Han · Scientia Sinica Mathematica · 2014
The generalized Nash equilibrium problem, GNEP for short, is a noncooperative game, which can be found wide applications in economics, management sciences and traffic assignment, etc. This paper presents a new penalty algorithm for solving the general GNEP, in which the alternating direction method is adopted to solve the subproblem according to the special structure of the penalty function. The global convergence of the new method is established under some assumptions. Preliminary numerical results demonstrate the proposed method is reliable and efficient.