| Time: | April 30, 2024 |
|---|---|
| Download as iCal: |
|
Prof. Mathias Staudigl
Department of Mathematics
University of Mannheim
Mannheim, Germany
Tuesday 2024-04-30 4 p.m.
IST Seminar Room 2.255 - Pfaffenwaldring 9 - Campus Stuttgart-Vaihingen
Abstract
The development of distributed control and optimisation strategies in large complex systems is a very active field in control theory and mathematical programming. In particular, computational approaches for of generalised Nash equilibrium problems (GNEPs) have become a fundamental topic in control theory, as it provides a solid mathematical framework for modelling and analysing multi-agent optimisation and control problems. A mathematically attractive approach has been the connection between structured variational inequalities and certain classes of equilibrium points in GNEPS. In this talk we will present new computational strategies for Nash equilibrium problems in different environments. In the first part of the talk, we will introduce new computational tools for solving Nash equilibrium problems in the deterministic regime. In this part we provide a new perspective on equilibrium computation, using mixed-integer programming tools, and dynamical system techniques. Once uncertainty afflicts the equilibrium problem, we present a new algorithmic framework to solve hierarchical equilibrium problems under stochastic uncertainty. In particular, we describe a new variance-reduced modified extragradient framework for learning hierarchical equilibria in a stochastic setting. Theoretical statements are illustrated with numerical experiments.
Biographical Information
Prof. Staudigl obtained his master's and doctoral degrees from the University of Vienna (with honours). He completed his doctoral degree in Operations Research and Mathematical Economics in 2010 under the supervision of Immanuel Bomze. Prof. Staudigl was a Max-Weber Fellow at the European University Institute, Florence, Italy. From 2011 to 2015 he worked as Akademischer Rat at the Institute of Mathematical Economics, University Bielefeld. From 2015 to 2018 he was an Assistant Professor (Tenure-Track) in Mathematical Game theory at the University Maastricht. From 2018 to 2023 he worked as an Associate Professor at the University of Maastricht. Since July 2023 he has been working as a professor in mathematical optimization at the University of Mannheim.