Random-Payoff Two-Person Zero-Sum Games

Roger A. Blau
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Roger A. Blau: University of North Carolina, Chapel Hill, North Carolina

Operations Research, 1974, vol. 22, issue 6, 1243-1251

Abstract: Within the framework of chance-constrained programming, this paper formulates two related stochastic models for players competing in a random-payoff two-person zero-sum game. Under certain assumptions, it shows that a one-to-one correspondence (called stochastic pseudoduality) exists between the two formulations at their optimal values, and, furthermore, exact deterministic equivalents can be obtained for these formulations. The optimal solution for a deterministic equivalent can be found by considering an appropriate class of subproblems.

Date: 1974
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