Complementarity formulation of games with random payoffs

Abstract We consider an n -player non-cooperative game where the payoff function of each player follows a multivariate distribution. This formulation is adopted to model zonal electricity market in which generators operate by running conventional and renewable-based plants. The players compete as Cournot model. formulate this problem chance-constrained defining using chance constraint. A full empirical analysis has been conducted on Italian test impact renewable light decarbonization volatility cost plants, mainly related gas prices. finally robustness constraint with out sample analysis.