Insights on the Theory of Robust Games

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F25%3A10254410" target="_blank" >RIV/61989100:27510/25:10254410 - isvavai.cz</a>

Výsledek na webu

<a href="https://link.springer.com/article/10.1007/s10614-023-10486-0" target="_blank" >https://link.springer.com/article/10.1007/s10614-023-10486-0</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1007/s10614-023-10486-0" target="_blank" >10.1007/s10614-023-10486-0</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Insights on the Theory of Robust Games

Popis výsledku v původním jazyce

A robust game is a distribution-free model to handle ambiguity generated by a bounded set of possible realizations of the values of players&apos; payoff functions. The players are worst-case optimizers and a solution, called robust-optimization equilibrium, is guaranteed by standard regularity conditions. The paper investigates the sensitivity to the level of uncertainty of this equilibrium focusing on robust games with no private information. Specifically, we prove that a robust-optimization equilibrium is an epsilon-Nash equilibrium of the nominal counterpart game, where epsilon measures the extra profit that a player would obtain by reducing his level of uncertainty. Moreover, given an epsilon-Nash equilibrium of a nominal game, we prove that it is always possible to introduce uncertainty such that the epsilon-Nash equilibrium is a robust-optimization equilibrium. These theoretical insights increase our understanding on how uncertainty impacts on the solutions of a robust game. Solutions that can be extremely sensitive to the level of uncertainty as the worst-case approach introduces non-linearity in the payoff functions. An example shows that a robust Cournot duopoly model can admit multiple and asymmetric robust-optimization equilibria despite only a symmetric Nash equilibrium exists for the nominal counterpart game.

Název v anglickém jazyce

Insights on the Theory of Robust Games

Popis výsledku anglicky

A robust game is a distribution-free model to handle ambiguity generated by a bounded set of possible realizations of the values of players&apos; payoff functions. The players are worst-case optimizers and a solution, called robust-optimization equilibrium, is guaranteed by standard regularity conditions. The paper investigates the sensitivity to the level of uncertainty of this equilibrium focusing on robust games with no private information. Specifically, we prove that a robust-optimization equilibrium is an epsilon-Nash equilibrium of the nominal counterpart game, where epsilon measures the extra profit that a player would obtain by reducing his level of uncertainty. Moreover, given an epsilon-Nash equilibrium of a nominal game, we prove that it is always possible to introduce uncertainty such that the epsilon-Nash equilibrium is a robust-optimization equilibrium. These theoretical insights increase our understanding on how uncertainty impacts on the solutions of a robust game. Solutions that can be extremely sensitive to the level of uncertainty as the worst-case approach introduces non-linearity in the payoff functions. An example shows that a robust Cournot duopoly model can admit multiple and asymmetric robust-optimization equilibria despite only a symmetric Nash equilibrium exists for the nominal counterpart game.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GA23-06282S" target="_blank" >GA23-06282S: Evoluční ekonomická dynamika s konečnou populací: Modelování a aplikace</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2025

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Computational Economics

ISSN

0927-7099

e-ISSN

1572-9974

Svazek periodika

65

Číslo periodika v rámci svazku

February

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

45

Strana od-do

717-761

Kód UT WoS článku

001125996100001

EID výsledku v databázi Scopus

2-s2.0-85176756240