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Nash equilibrium seeking for a class of quadratic-bilinear Wasserstein distributionally robust games

arXiv 2411.09636 ↗First posted 14 Nov 2024math.OC cs.MA cs.SYcited by 1

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Abstract (arXiv)

We consider a class of Wasserstein distributionally robust Nash equilibrium problems, where agents construct heterogeneous data-driven Wasserstein ambiguity sets using private samples and radii, in line with their individual risk-averse behaviour. By leveraging relevant properties of this class of games, we show that equilibria of the original seemingly infinite-dimensional problem can be obtained as a solution to a finite-dimensional Nash equilibrium problem. We then reformulate the problem as a finite-dimensional variational inequality and establish the connection between the corresponding solution sets. Our reformulation has scalable behaviour with respect to the data size and maintains a fixed number of constraints, independently of the number of samples. To compute a solution, we leverage two algorithms, based on the golden ratio algorithm. The efficiency of both algorithmic schemes is corroborated through extensive simulation studies on an illustrative example and a stochastic portfolio allocation game, where behavioural coupling among investors is modeled.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). First posted on arXiv 14 Nov 2024.

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