Probably Approximately Correct Nash Equilibrium Learning
For game theory and multi-agent systems, this work provides a novel way to certify equilibrium robustness under data-driven uncertainty, though the contribution is incremental as it builds on existing scenario-based optimization.
The paper introduces a PAC learning framework for computing robust Nash equilibria in multi-agent games under uncertainty, providing probabilistic robustness certificates. The method is demonstrated on an electric vehicle charging control problem.
We consider a multi-agent noncooperative game with agents' objective functions being affected by uncertainty. Following a data driven paradigm, we represent uncertainty by means of scenarios and seek a robust Nash equilibrium solution. We treat the Nash equilibrium computation problem within the realm of probably approximately correct (PAC) learning. Building upon recent developments in scenario-based optimization, we accompany the computed Nash equilibrium with a priori and a posteriori probabilistic robustness certificates, providing confidence that the computed equilibrium remains unaffected (in probabilistic terms) when a new uncertainty realization is encountered. For a wide class of games, we also show that the computation of the so called compression set - a key concept in scenario-based optimization - can be directly obtained as a byproduct of the proposed solution methodology. Finally, we illustrate how to overcome differentiability issues, arising due to the introduction of scenarios, and compute a Nash equilibrium solution in a decentralized manner. We demonstrate the efficacy of the proposed approach on an electric vehicle charging control problem.