Differential evolution based bi-level programming algorithm for computing normalized nash equilibrium

Abstract

The Generalised Nash Equilibrium Problem (GNEP) is a Nash game with the distinct feature that the feasible strategy set of a player depends on the strategies chosen by all her opponents in the game. This characteristic distinguishes the GNEP from a conventional Nash Game. These shared constraints on each player’s decision space, being dependent on decisions of others in the game, increases its computational difficulty. A special solution of the GNEP is the Nash Normalized Equilibrium which can be obtained by transforming the GNEP into a bi-level program with an optimal value of zero in the upper level. In this paper, we propose a Differential Evolution based Bi-Level Programming algorithm embodying Stochastic Ranking to handle constraints (DEBLP-SR) to solve the resulting bi-level programming formulation. Numerical examples of GNEPs drawn from the literature are used to illustrate the performance of the proposed algorithm