This work proposes a policy learning algorithm for seeking generalised feedback Nash equilibria (GFNE) in $N_P$-player noncooperative dynamic games. We consider linear-quadratic games with stochastic dynamics and design a best-response dynamics in which players update and broadcast a parametrisation of their state-feedback policies. Our approach leverages the System Level Synthesis (SLS) framework to formulate each player's update rule as the solution to a robust optimisation problem. Under certain conditions, rates of convergence to a feedback Nash equilibrium can be established. The algorithm is showcased in exemplary problems ranging from the decentralised control of unstable systems to competition in oligopolistic markets.
Categories: math.OC cs.SY eess.SY