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Solving chance-constrained games using complementarity problems

Abstract : In this paper, we formulate the random bimatrix game as a chance-constrained game using chance constraint. We show that a Nash equilibrium problem, corresponding to independent normally distributed payoffs, is equivalent to a nonlinear complementarity problem. Further if the payoffs are also identically distributed, a strategy pair where each player’s strategy is the uniform distribution over his action set, is a Nash equilibrium. We show that a Nash equilibrium problem corresponding to independent Cauchy distributed payoffs, is equivalent to a linear complementarity problem.
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https://hal-centralesupelec.archives-ouvertes.fr/hal-02441035
Contributor : Kamilia Abdani <>
Submitted on : Wednesday, January 15, 2020 - 3:33:09 PM
Last modification on : Wednesday, September 16, 2020 - 5:02:50 PM

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V.V. Singh, O. Jouini, Abdel Lisser. Solving chance-constrained games using complementarity problems. 2016-02-25, Feb 2016, Rome, Italy. pp.52-67, ⟨10.1007/978-3-319-53982-9_4⟩. ⟨hal-02441035⟩

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