Abstract
We consider relative or subjective optimization problems where the goal function and feasible set are dependent of the current state of the system under consideration. We propose equilibrium formulations of the corresponding problems that lead to general (quasi-)equilibrium problems. We propose to apply a regularized version of the penalty method for the general quasi-equilibrium problem, which enables us to establish existence results under weak coercivity conditions and replace the quasi-equilibrium problem with a sequence of the usual equilibrium problems. We describe several examples of applications and show that the subjective approach can be extended to non-cooperative game problems.
Similar content being viewed by others
References
Aubin J-P (1998) Optima and equilibria. Springer, Berlin
Baiocchi C, Capelo A (1984) Variational and quasivariational inequalities: applications to free boundary problems. Wiley, New York
Bensoussan A, Lions J-L (1984) Impulse control and quasi-variational inequalities. Gauthiers Villars, Paris
Ben-Tal A, El Ghaoui L, Nemirovski A (2009) Robust optimization. Princeton University Press, Princeton
Bianchi M, Pini R (2005) Coercivity conditions for equilibrium problems. J Optim Theory Appl 124:79–92
Blum E, Oettli W (1994) From optimization and variational inequalities to equilibrium problems. Math Stud 63:123–145
Chadli O, Konnov IV, Yao J-C (2004) Descent methods for equilibrium problems in a Banach space. Comput Math Appl 48:609–616
Facchinei F, Pang J-S (2003) Finite-dimensional variational inequalities and complementarity problems. Springer, Berlin
Fedorov VV (1979) Numerical methods of maximin. Nauka, Moscow (in Russian)
Fishburn PC (1970) Utility theory for decision making. Wiley, New York
Gwinner J (1983) On the penalty method for constrained variational inequalities. In: Hiriart-Urruty J-B, Oettli W, Stoer J (eds) Optimization: theory and algorithms. Marcel Dekker, New York, pp 197–211
Harker PT (1991) Generalized Nash games and quasivariational inequalities. Eur J Oper Res 54:81–94
Harker PT, Choi SC (1991) A penalty function approach for mathematical programs with variational inequality constraints. Inf Decis Technol 17:41–50
Hlaváček I, Chleboun J, Babuška I (2004) Uncertain input data problems and the worst scenario method. Elsevier, Amsterdam
Konnov IV (2001) Combined relaxation methods for variational inequalities. Springer, Berlin
Konnov IV (2008) Iterative solution methods for mixed equilibrium problems and variational inequalities with non-smooth functions. In: Haugen IN, Nilsen AS (eds) Game theory: strategies, equilibria, and theorems. Ch. 4. NOVA, Hauppauge, pp 117–160
Konnov IV (2014) On penalty methods for non monotone equilibrium problems. J Glob Optim 59:131–138
Konnov IV (2015) Regularized penalty method for general equilibrium problems in Banach spaces. J Optim Theory Appl 164:500–513
Konnov IV, Pinyagina OV (2003) \(D\)-gap functions for a class of equilibrium problems in Banach spaces. Comput Methods Appl Math 3:274–286
Konnov IV, Dyabilkin DA (2011) Nonmonotone equilibrium problems: coercivity conditions and weak regularization. J Glob Optim 49:575–587
Krawczyk JB, Uryasev S (2000) Relaxation algorithms to find Nash equilibria with economic applications. Environ Model Assess 5:63–73
Kuhn HW (1956) On a theorem of Wald. In: Kuhn HW, Tucker AW (eds) Linear inequalities and related topics, vol 38. Annals of mathematics studies. Princeton University Press, Princeton, pp 265–273
Larichev OI (1979) Science and art of decision-making. Nauka, Moscow (in Russian)
Mastroeni G (2003) Gap functions for equilibrium problems. J Glob Optim 27:411–426
Miettinen K (1998) Nonlinear multiobjective optimization. Kluwer Academic Publishers, Dordrecht
Moiseev NN (1981) Mathematical problems of system analysis. Nauka, Moscow (in Russian)
Nash J (1951) Non-cooperative games. Ann Math 54:286–295
Nikaido H, Isoda K (1955) Note on noncooperative convex games. Pac J Math 5:807–815
Patriksson M (1999) Nonlinear programming and variational inequality problems: a unified approach. Kluwer Academic Publishers, Dordrecht
Polyak BT (1983) Introduction to optimization. Nauka, Moscow [Engl. transl. in Optimization software, New York (1987)]
Rosen JB (1965) Existence and uniqueness of equilibrium points for concave N-person games. Econometrica 33:520–533
Sawaragi Y, Nakayama H, Tanino T (1985) Theory of multiobjective optimization. Academic Press, New York
Yuan X-Z, Tan K-K (1997) Generalized games and non-compact quasi-variational inequalities. J Math Anal Appl 209:635–661
Zukhovitskii SI, Polyak RA, Primak ME (1969) Two methods of search for equilibrium points of \(n\)-person concave games. Sovi Math Dokl 10:279–282
Acknowledgements
The results of this work were obtained within the state assignment of the Ministry of Science and Education of Russia, Project No. 1.460.2016/1.4. In this work, the author was also supported by Russian Foundation for Basic Research, Project No. 16-01-00109a.
Author information
Authors and Affiliations
Corresponding author
Additional information
Publisher's Note
Springer Nature remains neutral with regard to jurisdictional claims in published maps and institutional affiliations.
Rights and permissions
About this article
Cite this article
Konnov, I.V. Equilibrium formulations of relative optimization problems. Math Meth Oper Res 90, 137–152 (2019). https://doi.org/10.1007/s00186-019-00663-z
Received:
Accepted:
Published:
Issue Date:
DOI: https://doi.org/10.1007/s00186-019-00663-z
Keywords
- Relative optimization
- Quasi-equilibrium problems
- Equilibrium problems
- Regularized penalty method
- Existence results
- Coercivity conditions
- Non-cooperative games