Games with distributionally robust joint chance constraints

Shen Peng,Abdel Lisser,Vikas Vikram Singh, Nalin Gupta, Eshan Balachandar

OPTIMIZATION LETTERS(2021)

引用 7|浏览1
暂无评分
摘要
This paper studies an n -player non-cooperative game where each player has expected-value payoff function and chance-constrained strategy set. We consider the case where the row vectors defining the constraints are independent random vectors whose probability distributions are not completely known and belong to a certain distributional uncertainty set. The chance-constrained strategy sets are defined using a distributionally robust framework. We consider one density based uncertainty set and four two-moments based uncertainty sets. One of the considered uncertainty sets is based on a nonnegative support. Under the standard assumptions on the players’ payoff functions, we show that there exists a Nash equilibrium of a distributionally robust chance-constrained game for each uncertainty set. As an application, we study Cournot competition in electricity market and perform the numerical experiments for the case of two electricity firms.
更多
查看译文
关键词
Chance-constrained game, Nash equilibrium, Distributionally robust optimization, Nonnegative support, Electricity market
AI 理解论文
溯源树
样例
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要