Journal of Optimization Theory and Applications

, Volume 144, Issue 3, pp 511–531

Gap Function Approach to the Generalized Nash Equilibrium Problem

Authors

  • K. Kubota
    • Department of Applied Mathematics and Physics Graduate School of InformaticsKyoto University
    • Department of Applied Mathematics and Physics Graduate School of InformaticsKyoto University
Article

DOI: 10.1007/s10957-009-9614-4

Cite this article as:
Kubota, K. & Fukushima, M. J Optim Theory Appl (2010) 144: 511. doi:10.1007/s10957-009-9614-4

Abstract

We consider an optimization reformulation approach for the generalized Nash equilibrium problem (GNEP) that uses the regularized gap function of a quasi-variational inequality (QVI). The regularized gap function for QVI is in general not differentiable, but only directionally differentiable. Moreover, a simple condition has yet to be established, under which any stationary point of the regularized gap function solves the QVI. We tackle these issues for the GNEP in which the shared constraints are given by linear equalities, while the individual constraints are given by convex inequalities. First, we formulate the minimization problem involving the regularized gap function and show the equivalence to GNEP. Next, we establish the differentiability of the regularized gap function and show that any stationary point of the minimization problem solves the original GNEP under some suitable assumptions. Then, by using a barrier technique, we propose an algorithm that sequentially solves minimization problems obtained from GNEPs with the shared equality constraints only. Further, we discuss the case of shared inequality constraints and present an algorithm that utilizes the transformation of the inequality constraints to equality constraints by means of slack variables. We present some results of numerical experiments to illustrate the proposed approach.

Keywords

Generalized Nash equilibrium problemsQuasivariational inequalitiesRegularized gap functions

Copyright information

© Springer Science+Business Media, LLC 2009