Generalized uncertain Nash games: Reformulation and robust equilibrium seeking
Marta Fochesato, Filippo Fabiani, John Lygeros · 2023
We consider generalized Nash equilibrium problems (GNEPs) with linear coupling constraints affected by both local (i.e., agent-wise) and global (i.e., shared resources) disturbances taking values in polyhedral uncertainty sets. By making use of traditional tools borrowed from robust optimization, for this class of problems we derive a tractable, finite-dimensional reformulation leading to a deterministic “extended game”, and we show that this latter still amounts to a GNEP featuring generalized Nash equilibria “in the worst-case”. We then design a fully-distributed, accelerated algorithm based on monotone operator theory, which enjoys convergence towards a Nash equilibrium of the original, uncertain game under weak structural assumptions. Finally, we illustrate the effectiveness of the proposed distributed scheme through numerical simulations.