Distributed Nash Equilibrium Seeking in Non-Monotone Games over the Simplex

Abstract

In this work, we present a novel characterization of approximate Nash equilibria in a class of convex games over the simplex. To achieve this, we regularize the utility functions using the Shannon entropy term, connect the solutions to the regularized game with the set of Nash equilibria, and formulate a multi-objective optimization problem to solve the regularized game. Based on the obtained properties of the stationary points in this optimization problem, we formulate two distributed heuristic algorithms to compute an approximate Nash equilibrium of the original game.