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A Gauss-Seidel method for solving multi-leader-multi-follower games
Published 3 Apr 2024 in math.OC | (2404.02605v2)
Abstract: We design a computational approach to find equilibria in a class of Nash games possessing a hierarchical structure. By using tools from mixed-integer optimization and the characterization of variational equilibria in terms of the Karush-Kuhn-Tucker conditions, we propose a mixed-integer game formulation for solving this challenging class of problems. Besides providing an equivalent reformulation, we design a proximal Gauss--Seidel method with global convergence guarantees in case the game enjoys a potential structure. We finally corroborate the numerical performance of the algorithm on a novel instance of the ride-hail market problem.
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