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Indexed by:期刊论文

Date of Publication:2012-02-01

Journal:8th International Conference on Optimization Techniques and Applications (ICOTA)

Included Journals:SCIE、CPCI-S、Scopus

Volume:8

Issue:1

Page Number:51-65

ISSN No.:1547-5816

Key Words:Generalized Nash equilibrium; penalty method; smoothing Newton method; Clarke's generalized Jacobian.

Abstract:This paper considers a penalty algorithm for solving the generalized Nash equilibrium problem (GNEP). Under the GNEP-MFCQ at a limiting point of the sequence generated by the algorithm, we demonstrate that the limit point is a solution to the GNEP and the parameter becomes a constant after a finite iterations. We formulate the Karush-Kuhn-Tucker conditions for a penalized problem into a system of nonsmooth equations and demonstrate the nonsingularity of its Clarke's generalized Jacobian at the KKT point under the so-called GNEP-Second Order Sufficient Condition. The nonsingularity facilitates the application of the smoothing Newton method for the global convergence and local quadratic rate. Finally, the numerical results are reported to show the effectiveness of the penalty method in solving generalized Nash equilibrium problem.