A Complementarity Problem Formulation for Chance-constraine Games

Vikas Vikram Singh, Oualid Jouini, Abdel Lisser

2016

Abstract

We consider a two player bimatrix game where the entries of each player’s payoff matrix are independent random variables following a certain distribution. We formulate this as a chance-constrained game by considering that the payoff of each player is defined by using a chance-constraint. We consider the case of normal and Cauchy distributions. We show that a Nash equilibrium of the chance-constrained game corresponding to normal distribution can be obtained by solving an equivalent nonlinear complementarity problem. Further if the entries of the payoff matrices are also identically distributed with non-negative mean, we show that a strategy pair, where each player’s strategy is the uniform distribution on his action set, is a Nash equilibrium of the chance-constrained game. We show that a Nash equilibrium of the chance-constrained game corresponding to Cauchy distribution can be obtained by solving an equivalent linear complementarity problem.

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Paper Citation


in Harvard Style

Singh V., Jouini O. and Lisser A. (2016). A Complementarity Problem Formulation for Chance-constraine Games . In Proceedings of 5th the International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES, ISBN 978-989-758-171-7, pages 58-67. DOI: 10.5220/0005754800580067


in Bibtex Style

@conference{icores16,
author={Vikas Vikram Singh and Oualid Jouini and Abdel Lisser},
title={A Complementarity Problem Formulation for Chance-constraine Games},
booktitle={Proceedings of 5th the International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,},
year={2016},
pages={58-67},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0005754800580067},
isbn={978-989-758-171-7},
}


in EndNote Style

TY - CONF
JO - Proceedings of 5th the International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,
TI - A Complementarity Problem Formulation for Chance-constraine Games
SN - 978-989-758-171-7
AU - Singh V.
AU - Jouini O.
AU - Lisser A.
PY - 2016
SP - 58
EP - 67
DO - 10.5220/0005754800580067