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Distributionally Robust Game Theory

open access: yes, 2015
The classical, complete-information two-player games assume that the problem data (in particular the payoff matrix) is known exactly by both players. In a now famous result, Nash has shown that any such game has an equilibrium in mixed strategies. This result was later extended to a class of incomplete-information two-player games by Harsanyi, who ...
openaire   +2 more sources

Distributionally Robust Optimization

open access: yes, 2018
Gao, Jian   +10 more
openaire   +3 more sources

Distributionally Robust Regret Minimization

open access: yes
We consider decision-making problems involving the optimization of linear objective functions with uncertain coefficients. The probability distribution of the coefficients--which are assumed to be stochastic in nature--is unknown to the decision maker but is assumed to lie within a given ambiguity set, defined as a type-1 Wasserstein ball centered at a
openaire   +2 more sources

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