An Optimal Distributed Algorithm with Operator Extrapolation for Stochastic Aggregative Games
Tongyu Wang, Peng Yi · 2022 4th International Conference on Industrial Artificial Intelligence (IAI) · 2022
This work studies Nash equilibrium seeking for a class of stochastic aggregative games, where each player has an expectation-valued objective function depending on its local strategy and the aggregate of all players' strategies. We propose a distributed algorithm with operator extrapolation, in which each player maintains an estimate of this aggregate by exchanging this information with its neighbors over a time-varying network, and updates its decision through the mirror descent method. An operator extrapolation at the search direction is applied such that the two step historical gradient samples are utilized to accelerate the convergence. Under the strongly monotone assumption on the pseudo-gradient mapping, we prove that the proposed algorithm can achieve the optimal convergence rate of for Nash equilibrium seeking of stochastic games.