A computational approach to dynamic generalized Nash equilibrium problem with time delay

Abstract

In this paper, a dynamic generalized Nash equilibrium problem with time delay is introduced and studied. An algorithm is developed for solving the model using differential variational inequality, and the convergence analysis for the algorithm is investigated. The highlights of this paper lie in the following aspects: (i) A static generalized Nash equilibrium problem is extended to a dynamic system with time delay. (ii) Both the utility functions and the constraint sets depend on the state variable and the rival players’ strategies. (iii) As a result of this new model, a numerical example involving commodity production in a continuous time system is given, and the numerical results benefit the decision makers to predict the change process of commodity price and its production volume.