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A New Error Bound Result for Generalized Nash Equilibrium Problems and its Algorithmic Application
Axel Dreves(axel.dreves Abstract: We present a new algorithm for the solution of Generalized Nash Equilibrium Problems. This hybrid method combines the robustness of a potential reduction algorithm and the local quadratic convergence rate of the LP-Newton method. We base our local convergence theory on an error bound and provide a new sufficient condition for it to hold that is weaker than known ones. In particular, this condition implies neither local uniqueness of a solution nor strict complementarity. We also report promising numerical results. Keywords: Generalized Nash Equilibrium Problem, Potential reduction algorithm, LP-Newton method, global convergence, local quadratic convergence, local error bound condition Category 1: Complementarity and Variational Inequalities Category 2: Other Topics (Game Theory ) Category 3: Nonlinear Optimization (Other ) Citation: Report MATH-NM-1-2013, Institute of Numerical Mathematics, TU Dresden, 01062 Dresden, Germany, January 2013 Download: [PDF] Entry Submitted: 02/11/2013 Modify/Update this entry | ||
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