Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7543717 | Operations Research Letters | 2018 | 18 Pages |
Abstract
We consider an n-player non-cooperative game with continuous strategy sets. The strategy set of each player contains a set of stochastic linear constraints. We model the stochastic linear constraints of each player as a joint chance constraint. We assume that the row vectors of a matrix defining the stochastic constraints of each player are independent and each row vector follows a multivariate normal distribution. Under certain conditions, we show the existence of a Nash equilibrium for this game.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Shen Peng, Vikas Vikram Singh, Abdel Lisser,