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Robust optimization equilibrium with deviation measures. (English) Zbl 1175.91017

Summary: We investigate robust optimization equilibria in game theory with two players, in which each player may neither exactly estimate his opponent’s strategies nor evaluate his own cost matrix accurately while may estimate a bounded asymmetric uncertain set. We obtain computationally tractable robust formulations which turns to be second-order cone complementarity problems. We provide a probability bound of constraint violation. Some numerical results are presented to illustrate the behavior of robust optimization equilibria.

MSC:

91A05 2-person games
91A10 Noncooperative games
90C33 Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming)
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