Solving generalized Nash equilibrium problems through stochastic global optimization

Abstract

Generalized Nash equilibrium problems address extensions of the well-known standard Nash equilibrium concept, making it possible to model and study more general settings. The main difference lies in that they allow both objective functions and constraints of each player to depend on the strategies of other players. The study of such problems has numerous applications in many fields, including engineering, economics, or management science, for instance. In this work we introduce a solution algorithm based on the Fuzzy Adaptive Simulated Annealing global optimization method (Fuzzy ASA, for short), demonstrating that it is possible to transform the original task into a constrained global optimization problem, which can be solved, in principle, by any effective global optimization algorithm, but in this paper our main tool will be the cited paradigm (Fuzzy ASA). We believe that the main merit of the proposed approach is to offer a simpler alternative for solving this important class of problems, in a less restrictive way in the sense of not demanding very strong conditions on the defining functions. Several case studies are presented for the sake of exemplifying the proposal's efficacy.