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Article Dans Une Revue Optimization Letters Année : 2017

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

Résumé

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 two types of distributional uncertainty sets. We show the existence of a mixed strategy Nash equilibrium of a distributionally robust chance-constrained game corresponding to both types of distributional uncertainty sets. For each case, we show a one-to-one correspondence between a Nash equilibrium of a game and a global maximum of a certain mathematical program.
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Dates et versions

hal-01728722 , version 1 (11-03-2018)

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Vikas Vikram Singh, Oualid Jouini, Abdel Lisser. Distributionally robust chance-constrained games: existence and characterization of Nash equilibrium. Optimization Letters, 2017, 11 (7), pp.1385 - 1405. ⟨10.1007/s11590-016-1077-6⟩. ⟨hal-01728722⟩
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