Human agents in non cooperative games often exhibit non rational behaviour. Prospect theory provides a behavioural framework to capture how agents perceive gains and losses under risk, but, its incorporation into games typically leads to non concave and non convex utility functions, making equilibrium computation challenging. In such cases, it is difficult to obtain algorithms that have global convergence behaviour. This paper proposes a learning algorithm which uses minorization-maximization (MM). Under a proximal Polyak-Lojasiewicz (PL) condition on the potential function, we establish global convergence of the algorithm to a potential-maximizing Nash equilibrium. We further show how the structure of the MM minorizer can be used to enable a distributed implementation of the algorithm. With additional noise injection, the individual updates of the agents can be obscured, while still ensuring global convergence.

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