Homotopy method for solving generalized Nash equilibrium problem with equality and inequality constraints
Xiaona Fan, Li Jiang, Mengsi Li · Journal of Industrial and Management Optimization · 2018
In this paper, we utilize a new homotopy method to solve generalized Nash equilibrium problem with equality and inequality constraints on unbounded sets. Based on the existing homotopy method, we establish a new homotopy equation by introducing a suitable perturbation on the equality constraint, the existence and the global convergence of homotopy path under certain assumptions have also been proved. In the proposed method, the initial point only needs to satisfy the inequality constraints. Compared with the existing homotopy method, this method expands the scope of the initial points and provides the convenience for solving generalized Nash equilibrium problem. The numerical results illustrate the effectiveness of this method.