Online Game with Time-Varying Coupled Inequality Constraints

Abstract: In this paper, online game is studied, where at each time, a group of players aim at selfishly minimizing their own time-varying cost function simultaneously subject to time-varying coupled constraints and local feasible set constraints. Only local cost functions and local constraints are available to individual players, who can share limited information with their neighbors through a fixed and connected graph. In addition, players have no prior knowledge of future cost functions and future local constraint functions. In this setting, a novel decentralized online learning algorithm is devised based on mirror descent and a primal-dual strategy. The proposed algorithm can achieve sublinearly bounded regrets and constraint violation by appropriately choosing decaying stepsizes. Furthermore, it is shown that the generated sequence of play by the designed algorithm can converge to the variational GNE of a strongly monotone game, to which the online game converges. Additionally, a payoff-based case, i.e., in a bandit feedback setting, is also considered and a new payoff-based learning policy is devised to generate sublinear regrets and constraint violation. Finally, the obtained theoretical results are corroborated by numerical simulations.