XVII th Conference on Stochastic Programming

Session

Game theory and equilibrium

GTE

29 juil. 2025, 14:00

F202

Présidents de session

Game theory and equilibrium: Contributed talks

• Bernardo Pagnoncelli (SKEMA Business School)

77. New Approaches to Multistage Equilibrium Problems in Economics

Bernardo Pagnoncelli (SKEMA Business School)

29/07/2025 14:00

Sequential decision making under uncertainty

Contributed talk

In this study, we examine multistage problems involving multiple agents, commonly known as stochastic dynamic games. Solving such problems is particularly challenging in real-world scenarios with a large number of interacting agents. We present a general formulation and focus on an incomplete market, heterogeneous agent model with aggregate uncertainty—the Krusell-Smith model. Our numerical...

105. Learning in Games with progressive hiding

Benjamin Heymann

29/07/2025 14:30

Game theory and equilibrium

Contributed talk

When learning to play an imperfect information game, it is often easier to first start with the basic mechanics of the game rules.
For example, one can play several example rounds with private cards revealed to all players to better understand the basic actions and their effects. Building on this intuition, this paper introduces {\it progressive hiding}, an algorithm that learns to play...

71. A Differentiable Path-Following Method to Compute Nash Equilibria in Behavioral Strategies for Robust Extensive-Form Games

Yiyin Cao (Xi'an Jiaotong University)

29/07/2025 15:00

Game theory and equilibrium

Contributed talk

An extension of robust optimization to extensive-form games with payoff uncertainty yields robust extensive-form games. To compute Nash equilibria in behavioral strategies for robust extensive-form games with perfect recall, we acquire from a characterization a polynomial system as a necessary and sufficient condition of Nash equilibrium in robust extensive-form games. As a result of this...

101. Continuous and Monotone Bayesian Nash Equilibrium with Incomplete Information about Player's Risk Preferences

M. Ziheng Su (The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management)

29/07/2025 15:30

Game theory and equilibrium

Contributed talk

In this paper, we consider a non-collaborative game where each player faces two types of uncertainties: aleatoric uncertainty arising from inherent randomness of underlying data in its own decision-making problem and epistemic uncertainty arising from lack of knowledge and statistical information on the rivals' risk preferences. By assuming that players are risk-averse against aleatoric...