A Douglas-Rachford splitting for semi-decentralized equilibrium seeking in generalized aggregative games

Giuseppe Belgioioso, Sergio Grammatico

Published 2018-03-28, updated 2018-09-30Version 2

We address the generalized aggregative equilibrium seeking problem for noncooperative agents playing average aggregative games with affine coupling constraints. First, we use operator theory to characterize the generalized aggregative equilibria of the game as the zeros of a monotone set-valued operator. Then, we massage the Douglas-Rachford splitting to solve the monotone inclusion problem and derive a single layer, semi-decentralized algorithm whose global convergence is guaranteed under mild assumptions. The potential of the proposed Douglas-Rachford algorithm is shown on a simplified resource allocation game, where we observe faster convergence with respect to forward-backward algorithms.