zero-sum game

Equivalent second-order cone programs for distributionally robust zero-sum games

  • Ayush Agarwal
  • Abdel Lisser
  • Vikas Vikram Singh
  • Navnit Yadav
    • Categories Game Theory, Stochastic Programming Tags , , , ,

    We consider a two player zero-sum game with stochastic linear constraints. The probability distributions of the vectors associated with the constraints are partially known. The available information with respect to the distribution is based mainly on the two first moments. In this vein, we formulate the stochastic linear constraints as distributionally robust chance constraints. We … Read more

    Second-order cone programming formulation for two player zero-sum game with chance constraints

  • Abdel Lisser
  • Vikas Vikram Singh
    • Categories Game Theory, Stochastic Programming Tags , , , ,

    We consider a two player finite strategic zero-sum game where each player has stochastic linear constraints. We formulate the stochastic constraints of each player as chance constraints. We show the existence of a saddle point equilibrium if the row vectors of the random matrices, defining the stochastic constraints of each player, are elliptically symmetric distributed … Read more