Challenges in Stochastic Programming

R.J.-B. Wets

Working Papers from International Institute for Applied Systems Analysis

Abstract: A class of non-cooperative constrained games is analyzed for which the Ky Fan function is convex-concave. Nash equilibria of such games correspond to diagonal saddle points of the said function. This feature is exploited in designing computational algorithms for finding such equilibria.

Date: 1994-05
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