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Applicable Analysis
An International Journal
Volume 88, 2009 - Issue 8
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Original Articles

Robust optimization with applications to game theory

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Pages 1183-1195 | Received 06 Dec 2008, Accepted 12 Jun 2009, Published online: 21 Sep 2010
 

Abstract

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.

AMS Subject Classifications::

Acknowledgement

This work was supported by the NSF of China under grant No. 10771057.

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