Journal
APPLICABLE ANALYSIS
Volume 88, Issue 8, Pages 1183-1195Publisher
TAYLOR & FRANCIS LTD
DOI: 10.1080/00036810903157196
Keywords
robust optimization equilibria; bimatrix game; strategy uncertainty; cost matrix uncertainty; second-order cone complementarity problem; mixed complementarity problem
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Funding
- NSF of China [10771057]
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In this article, we investigate robust optimization equilibria with two players, in which each player can neither evaluate his opponent's strategy nor his own cost matrix accurately while may estimate a bounded set of the strategy or cost matrix. We obtain a result that solving this equilibria can be formulated as solving a second-order cone complementarity problem under an ellipsoid uncertainty set or a mixed complementarity problem under a box uncertainty set. We present some numerical results to illustrate the behaviour of robust optimization equilibria.
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