论文标题
随机近似估计随机纳什游戏中稳定性的价格
Stochastic Approximation for Estimating the Price of Stability in Stochastic Nash Games
论文作者
论文摘要
本文的目的是使用随机近似(SA)方案在随机NASH游戏中近似稳定性(POS)。 POS是游戏理论中最受欢迎的指标之一,为估计NASH游戏效率提供了途径。特别是,了解POS的价值可以帮助设计有效的网络系统,包括运输网络和电力市场机制。由于缺乏计算POS的有效方法的动机,首先,我们考虑了非平滑且仅仅凸客观函数的随机优化问题,并且仅是单调随机变化不平等(SVI)约束。此问题出现在POS比的分子中。我们开发了一种随机的区块坐标随机额外(子)梯度方法,在该方法中,我们采用一种新型的迭代惩罚方案来说明算法的两个梯度更新中的SVI映射。我们获得了$ε^{ - 4} $的迭代复杂性,对于这类受约束的随机优化问题来说,这似乎是最著名的结果,其中$ε$表示对适当定义的不可行性和次优度指标的任意绑定。其次,我们开发了一种基于SA的方案,用于近似POS,并在近似误差上得出上下边界。为了验证理论发现,我们在网络随机Nash Cournot竞争中提供了初步的仿真结果。
The goal in this paper is to approximate the Price of Stability (PoS) in stochastic Nash games using stochastic approximation (SA) schemes. PoS is amongst the most popular metrics in game theory and provides an avenue for estimating the efficiency of Nash games. In particular, knowing the value of PoS can help with designing efficient networked systems, including transportation networks and power market mechanisms. Motivated by the lack of efficient methods for computing the PoS, first we consider stochastic optimization problems with a nonsmooth and merely convex objective function and a merely monotone stochastic variational inequality (SVI) constraint. This problem appears in the numerator of the PoS ratio. We develop a randomized block-coordinate stochastic extra-(sub)gradient method where we employ a novel iterative penalization scheme to account for the mapping of the SVI in each of the two gradient updates of the algorithm. We obtain an iteration complexity of the order $ε^{-4}$ that appears to be best known result for this class of constrained stochastic optimization problems, where $ε$ denotes an arbitrary bound on suitably defined infeasibility and suboptimality metrics. Second, we develop an SA-based scheme for approximating the PoS and derive lower and upper bounds on the approximation error. To validate the theoretical findings, we provide preliminary simulation results on a networked stochastic Nash Cournot competition.