Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142518 | Operations Research Letters | 2014 | 5 Pages |
Abstract
This paper presents a robust optimization model for nn-person finite state/action stochastic games with incomplete information on payoffs. For polytopic uncertainty sets, we propose an explicit mathematical programming formulation for an equilibrium calculation. It turns out that a global optimal of this mathematical program yields an equilibrium point and epsilon-equilibria can be calculated based on this result. We briefly describe an incomplete information version of a security application that can benefit from robust game theory.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Erim Kardeş,