In this paper we propose a general framework of distribution-free models for N-person
non-cooperative games with uncertain information. In the model, we assume that each
player's cost function and/or the opponents' strategies belong to some uncertainty sets, and
each player chooses his/her strategy according to the robust optimization policy. Under such
assumptions, we define the robust Nash equilibrium for N-person games by extending some
existing definitions. We present sufficient conditions for existence and uniqueness of a robust
Nash equilibrium. In order to compute robust Nash equilibria, we reformulate certain classes
of robust Nash equilibrium problems to second-order cone complementarity problems. We
finally show some numerical results to discuss the behavior of robust Nash equilibria.