Improved Guarantees for Optimal Nash Equilibrium Seeking and Bilevel Variational Inequalities

Journal Article · Tue Feb 18 00:00:00 EST 2025 · SIAM Journal on Optimization

DOI:https://doi.org/10.1137/23M1589402· OSTI ID:3009725

Samadi, Sepideh ^[1]; Yousefian, Farzad ^[1]

---

1. Rutgers University, Piscataway, NJ (United States)

We consider a class of hierarchical variational inequality (VI) problems that subsumes VI-constrained optimization and several other problem classes, including the optimal solution selection problem and the optimal Nash equilibrium (NE) seeking problem. Our main contribution is threefold. (i) We consider bilevel VIs with monotone and Lipschitz continuous mappings and devise a single-timescale iteratively regularized extragradient method, named IR-EG_𝚖,𝚖. We improve the existing iteration complexity results for addressing both bilevel VI and VI-constrained convex optimization problems. (ii) Under the strong monotonicity of the outer-level mapping, we develop a method named IR-EG_𝚜,𝚖 and derive faster guarantees than those in (i). We also study the iteration complexity of this method under a constant regularization parameter. These results appear to be new for both bilevel VIs and VI-constrained optimization. (iii) To our knowledge, complexity guarantees for computing the optimal NE in nonconvex settings do not exist. Motivated by this lacuna, we consider VI-constrained nonconvex optimization problems and devise an inexactly projected gradient method, named IPR-EG, where the projection onto the unknown set of equilibria is performed using IR-EG_𝚜,𝚖 with a prescribed termination criterion and an adaptive regularization parameter. We obtain new complexity guarantees in terms of a residual map and an infeasibility metric for computing a stationary point. Here, we validate the theoretical findings using preliminary numerical experiments for computing the best and the worst NEs.

• Research Organization: Rutgers University, Piscataway, NJ (United States)
• Sponsoring Organization: National Science Foundation (NSF); Office of Naval Research (ONR); USDOE
• Grant/Contract Number: SC0023303
• OSTI ID: 3009725
• Journal Information: SIAM Journal on Optimization, Journal Name: SIAM Journal on Optimization Journal Issue: 1 Vol. 35; ISSN 1095-7189; ISSN 1052-6234
• Publisher: Society for Industrial and Applied Mathematics (SIAM)
• Country of Publication: United States
• Language: English

Related Subjects

bilevel optimization
bilevel variational inequalities
complexity analysis
extragradient method
iterative regularization
optimal Nash equilibrium seeking