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Zero-sum Games with Distributionally Robust Chance Constraints

Authors:
Nguyen Hoang Nam
Vikas Singh
Abdel Lisser
Monika Arora

Keywords: Distributionally robust chance constraints, Zero-sum game, Saddle point equilibrium, Second-order cone program

Abstract:
We consider a two-player zero-sum game with random linear chance constraints whose distributions are known to belong to moments based uncertainty sets. We show that a Saddle Point Equilibrium problem is equivalent to a primal-dual pair of Second-Order Cone Programs. The game with chance constraints can be used in various applications, e.g., risk constraints in portfolio optimization, resource constraints in stochastic shortest path problem, renewable energy aggregators in the local market.

Pages: 7 to 12

Copyright: Copyright (c) IARIA, 2022

Publication date: June 26, 2022

Published in: conference

ISSN: 2308-3972

ISBN: 978-1-61208-957-7

Location: Porto, Portugal

Dates: from June 26, 2022 to June 30, 2022