Characterization and computation of local Nash equilibria in continuous games

Abstract

We present derivative-based necessary and sufficient conditions ensuring player strategies constitute local Nash equilibria in non-cooperative continuous games. Our results can be interpreted as generalizations of analogous second-order conditions for local optimality from nonlinear programming and optimal control theory. Drawing on this analogy, we propose an iterative steepest descent algorithm for numerical approximation of local Nash equilibria and provide a sufficient condition ensuring local convergence of the algorithm. We demonstrate our analytical and computational techniques by computing local Nash equilibria in games played on a finite-dimensional differentiable manifold or an infinite-dimensional Hilbert space.