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arXiv 2511.03340cs.GTmath.OC
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求解混合整数广义纳什博弈近似均衡的分支切割法

Branch-and-Cut for Computing Approximate Equilibria of Mixed-Integer Generalized Nash Games

Aloïs Duguet, Tobias Harks, Martin Schmidt, Julian Schwarz

AI总结:

本文针对混合整数广义纳什博弈中精确均衡可能不存在的问题,提出基于相交割平面的分支切割方法以计算近似均衡或证明其不存在,并进一步给出单树二分搜索方法求解最佳近似均衡,在混合整数流量博弈上验证了有效性。

摘要:

具有混合整数变量的广义纳什均衡问题构成了一类重要的博弈,其中每个参与者求解一个混合整数优化问题,其目标函数和可行集都由对手的策略参数化。然而,这类博弈已知可能不存在精确均衡,而且假设所有参与者都能将非凸问题求解到全局最优也值得怀疑。这促使了对近似均衡的研究。本文考虑一种同时包含最优性的乘性和加性松弛的近似概念。我们提出了一种分支切割(B&C)方法,用于计算此类近似均衡或证明其不存在。为此,我们采用了相交割平面的思想,并在约束为线性且每个参与者的成本函数要么在整个策略剖面中为凸,要么在整个策略剖面中为凹且对对手策略为线性的条件下,证明了此类割平面的存在性。对于标准纳什均衡问题的特殊情形,我们引入了一种替代类型的割平面,并证明在每一参与者仅有有限多个不同最优响应集的条件下,该方法有限终止。最后,在分支切割方法的基础上,我们引入了一种单树二分搜索方法,用于在某些简化假设下计算最佳近似均衡。我们实现了这些方法,并针对一类混合整数流量博弈给出了数值结果。

英文摘要:

Generalized Nash equilibrium problems with mixed-integer variables constitute an important class of games in which each player solves a mixed-integer optimization problem, where both the objective and the feasible set is parameterized by the rivals' strategies. However, such games are known for failing to admit exact equilibria and also the assumption of all players being able to solve nonconvex problems to global optimality is questionable. This motivates the study of approximate equilibria. In this work, we consider an approximation concept that incorporates both multiplicative and additive relaxations of optimality. We propose a branch-and-cut (B&C) method that computes such approximate equilibria or proves its non-existence. For this, we adopt the idea of intersection cuts and show the existence of such cuts under the condition that the constraints are linear and each player's cost function is either convex in the entire strategy profile, or, concave in the entire strategy profile and linear in the rivals' strategies. For the special case of standard Nash equilibrium problems, we introduce an alternative type of cut and show that the method terminates finitely, provided that each player has only finitely many distinct best-response sets. Finally, on the basis of the B&C method, we introduce a single-tree binary-search method to compute best-approximate equilibria under some simplifying assumptions. We implemented these methods and present numerical results for a class of mixed-integer flow games.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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