Nonlinear complementarity problems for n-player strategic chance-constrained games
Résumé
In this paper, we focus on n-player strategic chance-constrained games where the payoff of each player follows either Cauchy or normal distribution. We transform the Nash equilibrium problem into its equivalent nonlinear complementarity problem (NCP) through the Karush-Kuhn-Tucker (KKT) conditions. Then, we prove the existence of the Nash equilibrium by the mean of Brouwer's fixed-point theorem. In order to show the efficiency of our approach, we perform numerical experiments on a set of randomly generated instances.
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