Distributionally Robust Chance Constrained Games under Wasserstein Ball
Résumé
This paper considers distributionally robust chance constrained games with a Wasserstein distance based uncertainty set. We assume that the center of the uncertainty set is an elliptical distribution. We derive a tractable reformulation and an efficient solution approach to Nash equilibrium of the distributionally robust chance constrained games. Numerical results show the price and benefit of the robust model compared with the non-robust model.
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