In this paper we address game theory problems arising in the context of network security. In traditional game theory problems, given a defender and an attacker, one searches for mixed strategies which minimize a linear payoff functional. In the problems addressed in this paper an additional quadratic term is added to the minimization problem. Such term represents switching costs, i.e., the costs for the defender of switching from a given strategy to another one at successive rounds of a Nash game. The resulting problems are nonconvex QP ones with linear constraints and turn out to be very challenging. We will show that the most recent approaches for the minimization of nonconvex QP functions over polytopes, including commercial solvers such as CPLEX and GUROBI, are unable to solve to optimality even test instances with n = 50 variables. For this reason, we propose to extend with them the current benchmark set of test instances for QP problems. We also present a spatial branch-and-bound approach for the solution of these problems, where a predominant role is played by an optimality-based domain reduction, with multiple solutions of LP problems at each node of the branch-and-bound tree. Of course, domain reductions are standard tools in spatial branch-and-bound approaches. However, our contribution lies in the observation that, from the computational point of view, a rather aggressive application of these tools appears to be the best way to tackle the proposed instances. Indeed, according to our experiments, while they make the computational cost per node high, this is largely compensated by the rather slow growth of the number of nodes in the branch-and-bound tree, so that the proposed approach strongly outperforms the existing solvers for QP problems.
This paper shows the existence of $\mathcal{O}(\frac{1}{n^γ})$-Nash equilibria in $n$-player noncooperative sum-aggregative games in which the players' cost functions, depending only on their own action and the average of all players' actions, are lower semicontinuous in the former while $γ$-Hölder continuous in the latter. Neither the action sets nor the cost functions need to be convex. For an important class of sum-aggregative games, which includes congestion games with $γ$ equal to 1, a gradient-proximal algorithm is used to construct $\mathcal{O}(\frac{1}{n})$-Nash equilibria with at most…
This paper is concerned with optimal control problems for parabolic partial differential equations with pointwise in time switching constraints on the control. A standard approach to treat constraints in nonlinear optimization is penalization, in particular using $L^1$-type norms. Applying this approach to the switching constraint leads to a nonsmooth and nonconvex infinite-dimensional minimization problem which is challenging both analytically and numerically. Adding $H^1$ regularization or restricting to a finite-dimensional control space allows showing existence of optimal controls. First-o…
In this paper, a distributed velocity-constrained consensus problem is studied for discrete-time multi-agent systems, where each agent's velocity is constrained to lie in a nonconvex set. A distributed constrained control algorithm is proposed to enable all agents to converge to a common point using only local information. {The gains of the algorithm for all agents need not to be the same or predesigned and can be adjusted by each agent itself based on its own and neighbors' information.} It is shown that the algorithm is robust to arbitrarily bounded communication delays and arbitrarily switc…
In this paper, we introduce several types of correspondences: weakly naturally quasiconvex, *-weakly naturally quasiconvex, weakly biconvex and correspondences with *--weakly convex graph and we prove some fixed point theorems for these kinds of correspondences. As a consequence, using a version of W. K. Kim's quasi-point theorem, we obtain the existence of equilibria for a quasi-game.
We propose an efficient algorithm for finding first-order Nash equilibria in min-max problems of the form $\min_{x \in X}\max_{y\in Y} F(x,y)$, where the objective function is smooth in both variables and concave with respect to $y$; the sets $X$ and $Y$ are convex and "projection-friendly," and $Y$ is compact. Our goal is to find an $(\varepsilon_x,\varepsilon_y)$-first-order Nash equilibrium with respect to a stationarity criterion that is stronger than the commonly used proximal gradient norm. The proposed approach is fairly simple: we perform approximate proximal-point iterations on the pr…
The distributed computation of equilibria and optima has seen growing interest in a broad collection of networked problems. We consider the computation of equilibria of convex stochastic Nash games characterized by a possibly nonconvex potential function. Our focus is on two classes of stochastic Nash games: (P1): A potential stochastic Nash game, in which each player solves a parameterized stochastic convex program; and (P2): A misspecified generalization, where the player-specific stochastic program is complicated by a parametric misspecification. In both settings, exact proximal BR solution…
Georgia Institute of Technology（佐治亚理工学院）；University of Minnesota（明尼苏达大学）；Princeton University（普林斯顿大学）
We study constrained nonconvex optimization problems in machine learning, signal processing, and stochastic control. It is well-known that these problems can be rewritten to a minimax problem in a Lagrangian form. However, due to the lack of convexity, their landscape is not well understood and how to find the stable equilibria of the Lagrangian function is still unknown. To bridge the gap, we study the landscape of the Lagrangian function. Further, we define a special class of Lagrangian functions. They enjoy two properties: 1.Equilibria are either stable or unstable (Formal definition in Sec…
We consider the problem of computing equilibria (steady-states) for droop-controlled, islanded, AC microgrids that are both economic-optimal and dynamically stable. This work is motivated by the observation that classical optimal power flow (OPF) formulations used for economic optimization might provide equilibria that are not reachable by low-level controllers (i.e., closed-loop unstable). This arises because OPF problems only enforce steady-state conditions and do not capture the dynamics. We explain this behavior by using a port-Hamiltonian microgrid representation. To overcome the limitati…
We study a new kind of non-zero-sum stochastic differential game with mixed impulse/switching controls, motivated by strategic competition in commodity markets. A representative upstream firm produces a commodity that is used by a representative downstream firm to produce a final consumption good. Both firms can influence the price of the commodity. By shutting down or increasing generation capacities, the upstream firm influences the price with impulses. By switching (or not) to a substitute, the downstream firm influences the drift of the commodity price process. We study the resulting impul…
This note is devoted to the distributed optimization problem of multi-agent systems with nonconvex velocity constraints, nonuniform position constraints and nonuniform stepsizes. Two distributed constrained algorithms with nonconvex velocity constraints and nonuniform stepsizes are proposed in the absence and the presence of nonuniform position constraints by introducing a switching mechanism to guarantee all agents' position states to remain in a bounded region. The algorithm gains need not to be predesigned and can be selected by each agent using its own and neighbours' information. By a mod…
This paper deals with optimal transmission switching (OTS) problems involving discrete binary decisions about network topology and non-convex power flow constraints. We adopt a semidefinite programming formulation for the OPF problem which, however, remains nonconvex due to the presence of discrete variables and bilinear products between the decision variables. To tackle the latter, we introduce a novel physically-inspired, virtual-voltage approximation that leads to provable lower and upper bounds on the solution of the original problem. To deal with the exponential complexity caused by the d…
This paper aims to develop a Newton-type method to solve a class of nonconvex composite programs. In particular, the nonsmooth part is possibly nonconvex. To tackle the nonconvexity, we develop a notion of strong prox-regularity which is related to the singleton property, Lipschitz continuity, and monotonicity of the associated proximal operator, and we verify it in various classes of functions, including weakly convex functions, indicator functions of proximally smooth sets, and two specific sphere-related nonconvex nonsmooth functions. In this case, the problem class we are concerned with co…
In Stackelberg v/s Stackelberg games a collection of leaders compete in a Nash game constrained by the equilibrium conditions of another Nash game amongst the followers. The resulting equilibrium problems are plagued by the nonuniqueness of follower equilibria and nonconvexity of leader problems whereby the problem of providing sufficient conditions for existence of global or even local equilibria remains largely open. Indeed available existence statements are restrictive and model specific. In this paper, we present what is possibly the first general existence result for equilibria for this c…
Policy Optimization Provably Converges to Nash Equilibria in Zero-Sum Linear Quadratic Games
Department of Electrical and Computer Engineering & Coordinated Science Laboratory, University of Illinois at Urbana-Champaign（伊利诺伊大学厄巴纳-香槟分校电子工程与协调科学实验室部门）；Department of Operations Research and Financial Engineering, Princeton University（普林斯顿大学运筹学与金融工程系）
Massachusetts Institute of Technology（麻省理工学院）；École Polytechnique Fédérale de Lausanne（洛桑联邦理工学院）；University of California, Berkeley（加州大学伯克利分校）
Min-max optimization problems involving nonconvex-nonconcave objectives have found important applications in adversarial training and other multi-agent learning settings. Yet, no known gradient descent-based method is guaranteed to converge to (even local notions of) min-max equilibrium in the nonconvex-nonconcave setting. For all known methods, there exist relatively simple objectives for which they cycle or exhibit other undesirable behavior different from converging to a point, let alone to some game-theoretically meaningful one~\cite{flokas2019poincare,hsieh2021limits}. The only known conv…
Periodic solutions of nonlinear control systems with switching: a Lie-algebraic and contraction approach
Max Planck Institute for Dynamics of Complex Technical Systems（马普复杂技术系统动力学研究所）；Institute of Applied Mathematics and Mechanics, National Academy of Sciences of Ukraine（乌克兰国家科学院应用数学力学研究所）
We study optimal behavior of energy producers under a CO_2 emission abatement program. We focus on a two-player discrete-time model where each producer is sequentially optimizing her emission and production schedules. The game-theoretic aspect is captured through a reduced-form price-impact model for the CO_2 allowance price. Such duopolistic competition results in a new type of a non-zero-sum stochastic switching game on finite horizon. Existence of game Nash equilibria is established through generalization to randomized switching strategies. No uniqueness is possible and we therefore conside…
We explore the power of semidefinite programming (SDP) for finding additive $epsilon$-approximate Nash equilibria in bimatrix games. We introduce an SDP relaxation for a quadratic programming formulation of the Nash equilibrium (NE) problem and provide a number of valid inequalities to improve the quality of the relaxation. If a rank-1 solution to this SDP is found, then an exact NE can be recovered. We show that for a strictly competitive game, our SDP is guaranteed to return a rank-1 solution. We propose two algorithms based on iterative linearization of smooth nonconvex objective functions …
Optimal Coarse Correlated Equilibria in Mean Field Games: Linear Programming and No-Regret Learning
Department of Mathematics “Federigo Enriques”, University of Milan, Via Saldini 50, 20133, Milan, Italy.；Center for Mathematical Economics (IMW), Bielefeld University, Universit\"atsstrasse 25, 33615, Bielefeld, Germany.
Multi-leader multi-follower games are a class of hierarchical games in which a collection of leaders compete in a Nash game constrained by the equilibrium conditions of another Nash game amongst the followers. The resulting equilibrium problem with equilibrium constraints is complicated by nonconvex agent problems and therefore providing tractable conditions for existence of global or even local equilibria for it has proved challenging. Consequently, much of the extant research on this topic is either model specific or relies on weaker notions of equilibria. We consider a modified formulation …
We study decentralized learning in two-player zero-sum discounted Markov games where the goal is to design a policy optimization algorithm for either agent satisfying two properties. First, the player does not need to know the policy of the opponent to update its policy. Second, when both players adopt the algorithm, their joint policy converges to a Nash equilibrium of the game. To this end, we construct a meta algorithm, dubbed as $\texttt{Homotopy-PO}$, which provably finds a Nash equilibrium at a global linear rate. In particular, $\texttt{Homotopy-PO}$ interweaves two base algorithms $\te…
Nash Equilibria, Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimization
Operations Research and Information Engineering, Cornell University（运筹学与信息工程系，康奈尔大学）；Department of Electrical Engineering and Computer Sciences, UC Berkeley（电气工程与计算机科学系，加州大学伯克利分校）；Automatic Control Lab, ETH Zürich（自动控制实验室，瑞士联邦理工学院（ETH） Zurich分校）；Risk Analytics and Optimization Chair, EPFL Lausanne（风险分析与优化 chair，瑞士联邦理工学院（EPFL） Lausanne分校）
We analyse the convergence of the gradient projection algorithm, which is finalized with the Newton method, to a stationary point for the problem of nonconvex constrained optimization $\min_{x \in S} f(x)$ with a proximally smooth set $S = \{x \in R^n : g(x) = 0 \}, \; g : R^n \rightarrow R^m$ and a smooth function $f$. We propose new Error bound (EB) conditions for the gradient projection method which lead to the convergence domain of the Newton method. We prove that these EB conditions are typical for a wide class of optimization problems. It is possible to reach high convergence rate of the…
Optimization problems with discrete decisions are nonconvex and thus lack strong duality, which limits the usefulness of tools such as shadow prices and the KKT conditions. It was shown in Burer(2009) that mixed-binary quadratic programs can be written as completely positive programs, which are convex. Completely positive reformulations of discrete optimization problems therefore have strong duality if a constraint qualification is satisfied. We apply this perspective in two ways. First, we write unit commitment in power systems as a completely positive program, and use the dual copositive pro…
