Sufficient conditions to compute any solution of a quasivariational inequality via a variational inequality

We define the concept of reproducible map and show that, whenever the constraint map defining the quasivariational inequality (QVI) is reproducible then one can characterize the whole solution set of the QVI as a union of solution sets of some variational inequalities (VI). By exploiting this property, we give sufficient conditions to compute any solution of a generalized Nash equilibrium problem (GNEP) by solving a suitable VI. Finally, we define the class of pseudo-Nash equilibrium problems, which are (not necessarily convex) GNEPs whose solutions can be computed by solving suitable Nash equilibrium problems.     

Stochastic Variational Inequality Approaches to the Stochastic Generalized Nash Equilibrium with Shared Constraints

In this paper, we consider the generalized Nash equilibrium with shared constraints in the stochastic environment, and we call it the stochastic generalized Nash equilibrium. The stochastic variational inequalities are employed to solve this kind of problems, and the expected residual minimization model and the conditional value-at-risk formulations defined by the residual function for the stochastic variational inequalities are discussed. We show the risk for different kinds of solutions for the stochastic generalized Nash equilibrium by the conditional value-at-risk formulations. The properties of the stochastic quadratic generalized Nash equilibrium are shown. The smoothing approximations for the expected residual minimization formulation and the conditional value-at-risk formulation are employed. Moreover, we establish the gradient consistency for the measurable smoothing functions and the integrable functions under some suitable conditions, and we also analyze the properties of the formulations. Numerical results for the applications arising from the electricity market model illustrate that the solutions for the stochastic generalized Nash equilibrium given by the ERM model have good properties, such as robustness, low risk and so on.     

System of nonsmooth variational inequalities with applications

In this paper, we consider a system of vector variational inequalities and a system of nonsmooth variational inequalities defined by means of Clarke directional derivative. We also consider the Nash equilibrium problem with vector pay-offs and its scalarized form. We present some relations among these systems and problems. The existence results for a solution of system of nonsmooth variational inequalities are given. As a consequence, we derive an existence result for a solution of Nash equilibrium problem with vector pay-offs.     

A new approach to pointwise heat kernel upper bounds on doubling metric measure spaces

On doubling metric measure spaces endowed with a strongly local regular Dirichlet form, we show some characterisations of pointwise upper bounds of the heat kernel in terms of global scale-invariant inequalities that correspond respectively to the Nash inequality and to a Gagliardo–Nirenberg type inequality when the volume growth is polynomial. This yields a new proof and a generalisation of the well-known equivalence between classical heat kernel upper bounds and relative Faber–Krahn inequalities or localised Sobolev or Nash inequalities. We are able to treat more general pointwise estimates, where the heat kernel rate of decay is not necessarily governed by the volume growth. A crucial role is played by the finite propagation speed property for the associated wave equation, and our main result holds for an abstract semigroup of operators satisfying the Davies–Gaffney estimates.     

Approximations of Nash equilibria

Inspired by previous works on approximations of optimization problems and recent papers on the approximation of Walrasian and Nash equilibria and on stochastic variational inequalities, the present paper investigates the approximation of Nash equilibria and clarifies the conditions required for the convergence of the approximate equilibria via a direct approach, a variational approach, and an optimization approach. Besides directly addressing the issue of convergence of Nash equilibria via approximation, our investigation leads to a deeper understanding of various notions of functional convergence and their interconnections; more importantly, the investigation yields improved conditions for convergence of the approximate Nash equilibria via the variational approach. An illustrative application of our results to the approximation of a Nash equilibrium in a competitive capacity expansion model under uncertainty is presented.     

Equilibrium computation of the Hart and Mas-Colell bargaining model

The 8-th problem raised by [Hart, S., Mas-Colell, A., 2010. Bargaining and cooperation in strategic form games. Journal of the European Economics Association 8 (1), 7–33], is solved. To be specific, I show that the set of SP equilibria can be determined by a finite number of systems of linear inequalities, which are efficiently solvable when there are two players. This is more or less surprising because the Hart and Mas-Colell bargaining model and the SP equilibrium both seem to be rather complicated, and it is well known that an arbitrary Nash equilibrium is hard to compute, even when there are only two players. Using this algorithm, it is shown that players of Prisoners’ Dilemma can cooperate to some extent in the Hart and Mas-Colell bargaining, and full cooperation is attainable as ρ$\rho$, a parameter of this model, approaches to 1. Quantitative efficiency, i.e. price of anarchy, is also analyzed.     

A more refined convexity idea for Nash equilibria

In this paper, we relax the classical quasi-concavity assumption for the existence of pure Nash equilibria in the setting of constrained and unconstrained games in normal form. Multiconnected convexity (H. Ben-El-Mechaiekh et al., 1998) in spaces without any linear structure is a keen point. We present two games in which we show how the generalized continuity and quasi-concavity hypotheses are unrelated to each other as sufficient conditions for existence of Nash equilibria for games in normal form. Then our results are applied to two non-zero-sum games lacking the classical quasi-concavity assumption (Nash, 1950) and the more recent improvements (Ziad, 1999) and (Abalo and Kostreva, 2004). As minor results, we introduce new concept of convexity, named a-convexity, and some counterexamples of the relationships between some continuity conditions on players’ payoffs imposed by Lignola (1997), Reny (1999) and Simon (1987).     

Duality for implicit variational problems and numerical applications

The present paper deals with a dual characterization of the solutions of implicit variational problems. Some general results relating the solutions of the dual problem with those of the primal one are applied to variational and quasi-variational inequalities, Nash equilibria, saddle points and fixed points.

Finally a dual method for the numerical solutions of some quasi-variational inequalities is developed.     

Variational Inequality Formulation of a Class of Multi-Leader-Follower Games

The multi-leader-follower game can be looked on as a generalization of the Nash equilibrium problem and the Stackelberg game, which contains several leaders and a number of followers. Recently, the multi-leader-follower game has been drawing more and more attention, for example, in electricity power markets. However, when we formulate a general multi-leader-follower game as a single-level game, it will give rise to a lot of problems, such as the lack of convexity and the failure of constraint qualifications. In this paper, to get rid of these difficulties, we focus on a class of multi-leader-follower games that satisfy some particular, but still reasonable assumptions, and show that these games can be formulated as ordinary Nash equilibrium problems, and then as variational inequalities. We establish some results on the existence and uniqueness of a leader-follower Nash equilibrium. We also present illustrative numerical examples from an electricity power market model.     

An Interior Proximal Method for a Class of Quasimonotone Variational Inequalities

The Bregman-function-based Proximal Point Algorithm for variational inequalities is studied. Classical papers on this method deal with the assumption that the operator of the variational inequality is monotone. Motivated by the fact that this assumption can be considered to be restrictive, e.g., in the discussion of Nash equilibrium problems, the main objective of the present paper is to provide a convergence analysis only using a weaker assumption called quasimonotonicity. To the best of our knowledge, this is the first algorithm established for this general and frequently studied class of problems.     

Semidefinite complementarity reformulation for robust Nash equilibrium problems with Euclidean uncertainty sets

Consider the N-person non-cooperative game in which each player’s cost function and the opponents’ strategies are uncertain. For such an incomplete information game, the new solution concept called a robust Nash equilibrium has attracted much attention over the past several years. The robust Nash equilibrium results from each player’s decision-making based on the robust optimization policy. In this paper, we focus on the robust Nash equilibrium problem in which each player’s cost function is quadratic, and the uncertainty sets for the opponents’ strategies and the cost matrices are represented by means of Euclidean and Frobenius norms, respectively. Then, we show that the robust Nash equilibrium problem can be reformulated as a semidefinite complementarity problem (SDCP), by utilizing the semidefinite programming (SDP) reformulation technique in robust optimization. We also give some numerical example to illustrate the behavior of robust Nash equilibria.     

Solving policy design problems: Alternating direction method of multipliers-based methods for structured inverse variational inequalities

Inverse variational inequalities have broad applications in various disciplines, and some of them have very appealing structures. There are several algorithms (e.g., proximal point algorithms and projection-type algorithms) for solving the inverse variational inequalities in general settings, while few of them have fully exploited the special structures. In this paper, we consider a class of inverse variational inequalities that has a separable structure and linear constraints, which has its root in spatial economic equilibrium problems. To design an efficient algorithm, we develop an alternating direction method of multipliers (ADMM) based method by utilizing the separable structure. Under some mild assumptions, we prove its global convergence. We propose an improved variant that makes the subproblems much easier and derive the convergence result under the same conditions. Finally, we present the preliminary numerical results to show the capability and efficiency of the proposed methods.     

Variational Formulas of Poincaré-type Inequalities for Birth-Death Processes

Abstract In author’s one previous paper, the same topic was studied for one dimensional diffusions. As a continuation, this paper studies the discrete case, that is the birth-death processes. The explicit criteria for the inequalities, the variational formulas and explicit bounds of the corresponding constants in the inequalities are presented. As typical applications, the Nash inequalities and logarithmic Sobolev inequalities are examined. Research supported in part by NSFC (No. 10121101), 973 Project and RFDP     

On the existence of equilibrium points of vector functions

The equilibrium problem concerning vector functions is formulated and some results on the existence of equilibrium points for this problem are proved and applied to vector optimizations , Nash equilibrium in noncooperative games, variational inequalities etc. concerning vector functions     

A Globally Convergent Algorithm to Compute All Nash Equilibria for <Emphasis Type="Italic">n</Emphasis>-Person Games

In this paper we present an algorithm to compute all Nash equilibria for generic finite n-person games in normal form. The algorithm relies on decomposing the game by means of support-sets. For each support-set, the set of totally mixed equilibria of the support-restricted game can be characterized by a system of polynomial equations and inequalities. By finding all the solutions to those systems, all equilibria are found. The algorithm belongs to the class of homotopy-methods and can be easily implemented. Finally, several techniques to speed up computations are proposed.     

The asymmetric travelling salesman problem and a reformulation of the Miller–Tucker–Zemlin constraints

In this paper we compare the linear programming (LP) relaxations of several old and new formulations for the asymmetric travelling salesman problem (ATSP). The main result of this paper is the derivation of a compact formulation whose LP relaxation is characterized by a set of circuit inequalities given by Grotschel and Padberg (In: Lawler, E.L., Lenstra, J.K., Rinnooy Kan, A., Shmoys, D.B. (Eds.), The Travelling Salesman Problem: A Guided Tour of Combinatorial Optimization. Wiley, New York, 1985). The new compact model is an improved and disaggregated version of a well-known model for the ATSP based on the subtour elimination constraints (Miller et al., Journal of ACM 7 (1960) 326–329). The circuit inequalities are weaker than the subtour elimination constraints given by Dantzig et al. However, each one of these circuit inequalities can be lifted into several different facet defining inequalities which are not dominated by the subtour elimination inequalities. We show that some of the inequalities involved in the previously mentioned compact formulation can be lifted in such a way that, by projection, we obtain a small subset of the so-called D_k^← and D_k^→ inequalities. This shows that the LP relaxation of our strongest model is not dominated by the LP relaxation of the model presented by Dantzig et al. (Operations Research 2 (1954) 393–410). The new models motivate a new classification of formulations for the ATSP.     

Systems of generalized variational inequalities and their applications ∗

In this paper, we first introduce the system of generalized implicit variational inequalities and prove the existence of its solution. Then we derive existence results for systems of generalized variational and variational like inequalities and system of variational inequalities. As applications, we establish some existence results for a solution to the system of optimization problems which includes the Nash equilibrium problem as a special case     

The applications of the Fan–Browder fixed point theorem in topological ordered spaces

In this work, for topological ordered spaces, by using the Fan–Browder fixed point theorem, we obtain existence results for solutions for some generalized quasi-Ky Fan inequalities and Nash equilibrium points for a game system.     

Coincidence Theorems with Applications to Minimax Inequalities, Section Theorem, Best Approximation and Multiobjective Games in Topological Spaces

Some new coincidence theorems involving admissible set-valued mappings are proved in general noncompact topological spaces. As applications, some new minimax inequalities, section theorem, best approximation theorem, existence theorems of weighted Nash equilibria and Pareto equilibria for multiobjective games are given in general topological spaces.     

Variational Formulas of Poincaré-Type Inequalities in Banach Spaces of Functions on the Line

Motivated from the study of logarithmic Sobolev, Nash and other functional inequalities, the variational formulas for Poincaré inequalities are extended to a large class of Banach (Orlicz) spaces of functions on the line. Explicit criteria for the inequalities to hold and explicit estimates for the optimal constants in the inequalities are presented. As a typical application, the logarithmic Sobolev constant is carefully examinated. Received December 13, 2001, Accepted March 26, 2002