Abstract

Abstract: In this paper, we investigate robust optimization equilibria in game theory with two players, in which each player may neither exactly estimate his opponent’s strategies nor evaluate his own cost matrix accurately while may estimate a bounded asymmetric uncertain set. We obtain computationally tractable robust formulations which turns to be second-order cone complementarity problems. We provide a probability bound of constraint violation. Some numerical results are presented to illustrate the behavior of robust optimization equilibria. Key words: Robust optimization equilibria, game theory, second-order cone complementarity problem, probability bound Mathematics Subject Classification:??????????????? 1