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Vikas Vikram Singh(vikas.singhlri.fr) Abstract: We consider a two player finite strategic zerosum game where each player has stochastic linear constraints. We formulate the stochastic constraints of each player as chance constraints. We show the existence of a saddle point equilibrium if the row vectors of the random matrices, defining the stochastic constraints of each player, are elliptically symmetric distributed random vectors. We further show that a saddle point equilibrium can be obtained from the optimal solutions of a primaldual pair of secondorder cone programs. Keywords: Stochastic programming, Chance constraints, Zerosum game, Saddle point equilibrium, Secondorder cone program. Category 1: Stochastic Programming Category 2: Other Topics (Game Theory ) Citation: Download: [PDF] Entry Submitted: 12/20/2016 Modify/Update this entry  
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