A second-order cone programming formulation for two player zero-sum games with chance constraints

Vikas Vikram Singh and Abdel Lisser

European Journal of Operational Research, 2019, vol. 275, issue 3, 839-845

Abstract: We consider a two player finite strategic zero-sum game where each player has stochastic linear constraints. We formulate the stochastic constraints of each player as chance constraints. We show the existence of a saddle point equilibrium in mixed strategies if the row vectors of the random matrices defining the stochastic constraints are elliptically symmetric distributed random vectors. We further show that a saddle point equilibrium can be obtained from the optimal solutions of a primal-dual pair of second-order cone programs.

Keywords: Stochastic programming; Chance constraints; Zero-sum game; Saddle point equilibrium; Second-order cone program (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:275:y:2019:i:3:p:839-845

DOI: 10.1016/j.ejor.2019.01.010

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