Department of Applied Mathematics & Physics, Kyoto University

Technical Report 2010-010 (May 07, 2010)

Semidefinite complementarity reformulation for robust Nash equilibrium problems with Euclidean uncertainty sets
by Ryoichi Nishimura, Shunsuke Hayashi and Masao Fukushima

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Consider the N-person non-cooperative game in which each player's cost function and the opponents' strategies are uncertain. For such an incomplete information game, the new solution concept called a robust Nash equilibrium has attracted much attention over the past several years. The robust Nash equilibrium results from each player's decision-making based on the robust optimization policy. In this paper, we focus on the robust Nash equilibrium problem in which each player's cost function is quadratic, and the uncertainty sets for the opponents' strategies and the cost matrices are represented by means of Euclidean and Frobenius norms, respectively. Then, we show that the robust Nash equilibrium problem can be reformulated as a semidefinite complementarity problem (SDCP), by utilizing the semidefinite programming (SDP) reformulation technique in robust optimization. We also give some numerical example to illustrate the behavior of robust Nash equilibria.