Games with distributionally robust joint chance constraints

This paper studies an n-player non-cooperative game where each player has expected-value payoff function and chance-constrained strategy set. We consider the case row vectors defining constraints are independent random whose probability distributions not completely known belong to a certain distributional uncertainty The sets defined using distributionally robust framework. one density based set four two-moments sets. One of considered is on nonnegative support. Under standard assumptions players’ functions, we show that there exists Nash equilibrium for As application, study Cournot competition in electricity market perform numerical experiments two firms.