Distributed Nash Equilibrium Seeking over Time-Varying Directed Communication Networks
Talk, International Conference on Continuous Optimization (ICCOPT), Lehigh University, Bethlehem, PA
We propose a distributed gradient play algorithm for finding a Nash equilibrium (NE) in a class of non-cooperative convex games under partial information. In this algorithm, every agent performs agradient step to minimize its own cost function while sharing and retrieving information locally among its neighbors. The existing methods impose strong assumptions such as balancedness of the mixing matrices and global knowledge of the network communication structure, including Perron-Frobenius eigenvector of the adjacency matrix and other graph connectivity constants. In contrast, our approach relies only on a reasonable and widely-used assumption of row-stochasticity of the mixing matrices. We analyze the algorithm for time-varying directed graphs and prove its convergence to the NE, when the agents’ cost functions are strongly convex and have Lipschitz continuous gradients.