Scenario-Game ADMM: A Parallelized Scenario-Based Solver for Stochastic Noncooperative Games
The work proposes a new way to solve complex multi-player games with uncertainty and chance constraints. It approximates these hard problems by using multiple sampled scenarios and then breaks them down into smaller, manageable sub-games for each scenario. A decentralized ADMM algorithm is then used to efficiently find a generalized Nash equilibrium (GNE) for the approximated game.