Solving generalized Nash equilibrium problem with equality and inequality constraints

Authors:
Qing Xu;Xi Dai;Bo Yu
Affiliations:
School of Management, Fudan University, Shanghai, P.R. China;School of Management, Fudan University, Shanghai, P.R. China;Department of Applied Mathematics, Dalian University of Technology, Dalian, Liaoning, P.R. China
Venue:
Optimization Methods & Software
Year:
2009

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Abstract

In this paper, a homotopy mapping for a generalized Nash equilibrium problem (GNEP) with equality and inequality constraints is constructed. From proving the existence of a homotopy path, a globally convergent homotopy method is developed to find a solution to the GNEP. Several numerical examples are presented.