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A Douglas-Rachford Splitting Method for Solving Monotone Variational Inequalities in Linear-quadratic Dynamic Games
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This paper considers constrained linear dynamic games with quadratic objective functions, which can be cast as affine variational inequalities. By leveraging the problem structure, we apply the Douglas-Rachford splitting, which generates a solution algorithm with linear convergence rate. The fast convergence of the method enables receding-horizon control architectures. Furthermore, we demonstrate that {the associated VI admits a closed-form solution within a neighborhood of the attractor, thus allowing for a further reduction in computation time.} Finally, we benchmark the proposed method via numerical experiments in an automated driving application.
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