Accelerated Gradient Play Algorithm For Distributed Nash Equilibrium Seeking

We study distributed algorithms for seeking a Nash equilibrium in a class of non-cooperative games with strongly monotone mappings. Each player has access to her own smooth local cost function and can communicate to her neighbors in some undirected graph. We first consider a distributed gradient play algorithm, which we call GRANE, for determining a Nash equilibrium. The algorithm involves every player performing a gradient step to minimize her own cost function while sharing and retrieving information locally among her neighbors in the network. We prove the convergence of this algorithm to a Nash equilibrium with a geometric rate. Further, we introduce the Nesterov type acceleration for the gradient play algorithm. We demonstrate that, similarly to the accelerated algorithms in centralized optimization and variational inequality problems, our accelerated algorithm outperforms GRANE in the convergence rate.