Distributed Nash Equilibrium Seeking via the Alternating Direction Method of Multipliers

Abstract: In this paper, the problem of finding a Nash equilibrium of a multi-player game is considered. The players are only aware of their own cost functions as well as the action space of all players. We develop a relatively fast algorithm within the framework of inexact-ADMM. It requires a communication graph for the information exchange between the players as well as a few mild assumptions on cost functions. The convergence proof of the algorithm to a Nash equilibrium of the game is then provided. Moreover, the convergence rate is investigated via simulations.