Approaching the Global Nash Equilibrium of Non-Convex Multi-Player Games.

Abstract

Many machine learning problems can be formulated as non-convex multi-player games. Due to non-convexity, it is challenging to obtain the existence condition of the global Nash equilibrium (NE) and design theoretically guaranteed algorithms. This paper studies a class of non-convex multi-player games, where players' payoff functions consist of canonical functions and quadratic operators. We leverage conjugate properties to transform the complementary problem into a variational inequality (VI) problem using a continuous pseudo-gradient mapping. We prove the existence condition of the global NE as the solution to the VI problem satisfies a duality relation. We then design an ordinary differential equation to approach the global NE with an exponential convergence rate. For practical implementation, we derive a discretized algorithm and apply it to two scenarios: multi-player games with generalized monotonicity and multi-player potential games. In the two settings, step sizes are required to be O(1/k) and O(1/√k) to yield the convergence rates of O(1/ k) and O(1/√k), respectively. Extensive experiments on robust neural network training and sensor network localization validate our theory. Our code is available at https://github.com/GuanpuChen/Global-NE.