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An Adjustment Process-based Algorithm with Error Bounds for Approximating a Nash Equilibrium

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Regarding the approximation of Nash equilibria in games where the players have a continuum of strategies, there exist various algorithms based on best response dynamics and on its relaxed variants: from one step to the next, a player's strategy is updated by using explicitly a best response to the strategies of the other players that come from the previous steps. These iterative schemes generate sequences of strategy profiles which are constructed by using continuous optimization techniques and they have been shown to converge in the following situations: in zero-sum games or, in non zero-sum ones, under contraction assumptions or under linearity of best response functions. In this paper, we propose an algorithm which guarantees the convergence to a Nash equilibrium in two-player non zero-sum games when the best response functions are not necessarily linear, both their compositions are not contractions and the strategy sets are Hilbert spaces. Firstly, we address the issue of uniqueness of the Nash equilibrium extending to a more general class the result obtained by Caruso, Ceparano, and Morgan [J. Math. Anal. Appl., 459 (2018), pp. 1208-1221] for weighted potential games. Then, we describe a theoretical approximation scheme based on a non-standard (non-convex) relaxation of best response iterations which converges to the unique Nash equilibrium of the game. Finally, we define a numerical approximation scheme relying on a derivative-free continuous optimization technique applied in a finite dimensional setting and we provide convergence results and error bounds.

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  • Francesco Caruso & Maria Carmela Ceparano & Jacqueline Morgan, 2018. "An Adjustment Process-based Algorithm with Error Bounds for Approximating a Nash Equilibrium," CSEF Working Papers 502, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 23 Mar 2020.
  • Handle: RePEc:sef:csefwp:502
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    1. Simone Sagratella, 2017. "Algorithms for generalized potential games with mixed-integer variables," Computational Optimization and Applications, Springer, vol. 68(3), pages 689-717, December.
    2. Francesco Caruso & Maria Carmela Ceparano & Jacqueline Morgan, 2017. "Uniqueness of Nash Equilibrium in Continuous Weighted Potential Games," CSEF Working Papers 471, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 18 Jun 2017.
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