A data-driven distributionally robust game using Wasserstein distance

DOI10.1007/978-3-030-64793-3_22zbMATH Open1484.91071OpenAlexW3113509194MaRDI QIDQ2056963FDOQ2056963

Authors: Guanze Peng, Tao Zhang, Quanyan Zhu 

Publication date: 8 December 2021

Full work available at URL: https://doi.org/10.1007/978-3-030-64793-3_22

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zbMATH Keywords

mathematical programmingdata-driven optimizationdistributionally robust game

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Games with incomplete information, Bayesian games (91A27)

Cites Work

• Optimal Transport
• Correlated Equilibrium as an Expression of Bayesian Rationality
• Game theory. Translated from the Hebrew by Ziv Hellman and edited by Mike Borns
• Games with Incomplete Information Played by “Bayesian” Players Part II. Bayesian Equilibrium Points
• Robust game theory
• Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
• Distributionally robust chance-constrained games: existence and characterization of Nash equilibrium

Cited In (3)

• On ambiguity-averse market equilibrium
• Distributionally robust chance constrained games under Wasserstein ball
• Two-stage distributionally robust noncooperative games: existence of Nash equilibrium and its application to Cournot-Nash competition

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