A Fast Convergent Algorithm for Solving Non-convex Partially-Decoupled Generalized Nash Equilibrium Problems

Abstract

Solving multi-agent optimal control problems in aerospace such as pursuit-evasion and contested space operations can be modeled as non-convex differential games for which, there are limited algorithms. In this work, a relaxation of generalized Nash Equilibrium problems (GNEPs) to exclude inter-agent control coupling in dynamics, which is representative of many multi-agent systems is introduced. The main contribution is an algorithm for solving a broad class of differential games named FALCON: Fast Augmented Lagrangian Convexification for Open-loop Nash equilibria is presented. Methodologically, sequential convex programming (SCP) is utilized to create tractable convex sub-games which can then be solved via standard convex programming methods involving a potential game reformulation. FALCON is demonstrated to have global convergence guarantees to an open-loop Nash equilibrium for non-convex differential games under mild assumptions. This is numerically shown through both cooperative and competitive differential games.