A common strategy for solving an unconstrained two-player Nash equilibrium problem with continuous variables is applying Newton’s method to the system of nonlinear equations obtained by the corresponding first-order necessary optimality conditions. However, when taking into account the game dynamics, it is not clear what is the goal of each player when considering that they … Read more
Two-stage distributionally robust stochastic noncooperative games with continuous decision variables are studied. In such games, each player solves a two-stage distributionally robust optimization problem depending on the decisions of the other players. Existing studies in this area have been limited with strict assumptions, such as linear decision rules, and supposed that each player solves a … Read more
We present multilinear and mixed-integer multilinear programs to find a Nash equilibrium in multi-player strategic-form games. We compare the formulations to common algorithms in Gambit, and conclude that a multilinear feasibility program finds a Nash equilibrium faster than any of the methods we compare it to, including the quantal response equilibrium method, which is recommended … Read more
Given a graph, the maximum clique problem (MCP) asks for determining a complete subgraph with the largest possible number of vertices. We propose a new exact algorithm, called CliSAT, to solve the MCP to proven optimality. This problem is of fundamental importance in graph theory and combinatorial optimization due to its practical relevance for a … Read more
We present a branch-and-prune procedure for discrete Nash equilibrium problems with a convex description of each player’s strategy set. The derived pruning criterion does not require player convexity, but only strict convexity of some player’s objective function in a single variable. If satisfied, it prunes choices for this variable by stating activity of certain constraints. … Read more
In their seminal work `A General Theory of Equilibrium Selection in Games’ (The MIT Press, 1988) Harsanyi and Selten introduce the notion of payoff dominance to explain how players select some solution of a Nash equilibrium problem from a set of nonunique equilibria. We formulate this concept for generalized Nash equilibrium problems, relax payoff dominance … Read more
We study the inefficiency of pure Nash equilibria in symmetric unweighted network congestion games defined over series-parallel networks. We introduce a quantity y(D) to upper bound the Price of Anarchy (PoA) for delay functions in class D. When D is the class of polynomial functions with highest degree p, our upper bound is 2^{p+1} − … Read more
Battery charging of electric vehicles (EVs) needs to be properly coordinated by electricity producers to maintain network reliability. In this paper, we propose a robust approach to model the interaction between a large fleet of EV users and utilities in a long-term generation expansion planning problem. In doing so, we employ a robust multi-period adjustable … Read more
In the context of decentralized portfolio management, understanding how to distribute a fixed budget among decentralized intermediaries is a relevant question for financial investors. We consider the Nash bargaining partitioning for a class of decentralized investment problems, where intermediaries are in charge of the portfolio construction in heterogeneous local markets and act as risk/disutility minimizers. … Read more
Multiplicative programs in the form of maximization and/or minimization have numerous applications in conservation planning, game theory, and multi-objective optimization settings. In practice, multiplicative programs are challenging to solve because of their multiplicative objective function (a product of continuous or integer variables). These challenges are twofold: 1. As the number of factors in the objective … Read more