2020/02/01 by Giovanni Paolo Crespi, Giovanni P. Crespi, Crespi, Giovanni Paolo +4 · 1 citation
Computer Science · Decision Sciences · Economics, Econometrics and Finance · #91A10 #Climate Change Policy and Economics #Computer Science and Game Theory (cs.GT) #Decision-Making and Behavioral Economics #Economic and Environmental Valuation #FOS: Computer and information sciences #FOS: Economics and business #J.4 #Theoretical Economics (econ.TH) #acm:91A10 #cs.GT #econ.TH #msc:91A10
paper · pdf · doi:10.48550/arxiv.2002.00225
28 pages. 3 figures. Paper presented at the INFORMS Annual Meeting in Houston~(2017), at the 14th Viennese Conference on Optimal Control and Dynamic Games, Vienna~(2019), at the XLII AMASES Annual Meeting in Naples~(2018), at the 10th Workshop Dynamic Models in Economics and Finance -- MDEF in Urbino~(2018), at the 19th Annual SAET Conference in Ischia~(2019)
arxiv created 2020/02/01 · openalex publication_date 2020/02/01 · arxiv updated 2020/02/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A robust game is a distribution-free model to handle ambiguity generated by a bounded set of possible realizations of the values of players' 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. Specifically, we prove that it is an epsilon-Nash equilibrium of the nominal counterpart game, where the epsilon-approximation 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. 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.