ITERATIVE COMPUTATION OF NASH EQUILIBRIA IN M-PLAYER GAMES WITH PARTIAL WEAK-COUPLING

We formulate two general classes of M-player deterministic and stochastic nonzero-sum games where the players can be-placed into two groups such that there are strong interactions within each group and a weak interaction between the two groups. This weak interaction is characterized in terms of a small parameter epsilon which, when set equal to zero, leads to two independent nonzero-sum games. Under the Nash equilibrium solution concept both within and in between the groups, we study the merits of an iterative method for the construction of the equilibrium by solving simpler problems at each stage of the iteration. In this iterative scheme, the zero'th order solution is the Nash equilibrium of the two independent games obtained by setting epsilon = 0, whereas the higher-order solutions are Nash equilibria of quadratic games, even though the original problem may have non-quadratic cost functions.