Existence of Solutions for Deterministic Bilevel Games under a General Bayesian Approach

DOI10.1137/21M1442164MaRDI QIDQ6093280zbMATH OpenOpenAlexFDO

Authors David Salas, Anton Svensson

Publication date 6 September 2023

Published in SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.05368

zbMATH Keywords

differential evolutionbeliefBayesian approachbilevel gamedecision-dependent distributionrectangular continuity

Mathematics Subject Classification ID

Hierarchical games (including Stackelberg games) (91A65) Games with incomplete information, Bayesian games (91A27)

Abstract: In 1996, Mallozzi and Morgan [33] proposed a new model for Stackelberg games which we refer here to as the Bayesian approach. The leader has only partial information about how followers select their reaction among possibly multiple optimal ones. This partial information is modeled as a decision-dependent distribution, the so-called belief of the leader. In this work, we formalize the setting of this approach for bilevel games admitting multiple leaders and we provide new results of existence of solutions. We pay particular attention to the fundamental case of linear bilevel problems, which has not been studied before, and which main difficulty is given by possible variations in the dimension of the reaction set of the follower. Our main technique to address this difficulty is based on a stronger notion of continuity for set-valued maps that we call rectangular continuity, and which is verified by the solution set of parametric linear problems. Finally, we provide some numerical experiments to address linear bilevel problems under the Bayesian approach.

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