Distributionally robust chance constrained games under Wasserstein ball

被引：0
|
作者：
Xia, Tian [1 ]
Liu, Jia [1 ]
Lisser, Abdel [2 ]
机构：
[1] Xi An Jiao Tong Univ, Sch Math & Stat, Xian 710049, Peoples R China
[2] CentraleSupelec, Lab Signaux & Syst, F-91190 Gif Sur Yvette, France
来源：
OPERATIONS RESEARCH LETTERS | 2023年 / 51卷 / 03期
基金：
中国国家自然科学基金; 国家重点研发计划;
关键词：
Chance constrained games; Wasserstein ball; Elliptical distribution; Nash equilibrium; NASH EQUILIBRIUM; EXISTENCE;
D O I：
10.1016/j.orl.2023.03.015
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper considers distributionally robust chance constrained games with a Wasserstein distance based uncertainty set. We assume that the center of the uncertainty set is an elliptical distribution. We derive a tractable reformulation and an efficient solution approach to the Nash equilibrium of the distributionally robust chance constrained games. Numerical results show the price and benefit of the robust model compared with the non-robust model.(c) 2023 Elsevier B.V. All rights reserved.
引用
收藏
页码：315 / 321
页数：7
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