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In the paper we consider bilinear two-person game without assumption about convexity of players’ loss functions. By constructing Nikaido-Isoda function, Nash equilibrium problem is reduced to an optimization problem with nonconvex and implicitly defined objective function, so global search is required.We propose an algorithm of support function method for solving obtained optimization problem. Such approach either allows to find an equilibrium point or gives an answer that the game has no equilibrium if this is a case.


Nash equilibrium; Nikaido-Isoda function; nonconvex optimization; support function method

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