Oualid Jouini – Optimization Online

Distributionally robust chance-constrained games: Existence and characterization of Nash equilibrium

Published: 2015/09/25, Updated: 2016/04/02

Game Theory, Stochastic Programming chance constraints, distributionally robust optimization, mathematical program, nash equilibrium, semidefinite programming

We consider an n-player finite strategic game. The payoff vector of each player is a random vector whose distribution is not completely known. We assume that the distribution of a random payoff vector of each player belongs to a distributional uncertainty set. We define a distributionally robust chance-constrained game using worst-case chance constraint. We consider … Read more

Existence of Nash equilibrium for Chance-Constrained Games

Published: 2015/06/24, Updated: 2016/02/07

Oualid Jouini

Abdel Lisser

Vikas Vikram Singh

Game Theory, Stochastic Programming chance-constrained game, elliptically symmetric distribution, nash equilibrium, normal distribution

We consider an n-player strategic game with finite action sets. The payoffs of each player are random variables. We assume that each player uses a satisficing payoff criterion defined by a chance-constraint, i.e., players face a chance- constrained game. We consider the cases where payoffs follow normal and elliptically symmetric distributions. For both cases we … Read more