The scenario approach meets uncertain variational inequalities and game theory
It extends scenario-based guarantees to a broader class of decision-making problems, benefiting researchers in optimization and game theory dealing with uncertainty.
This work bridges scenario approach with uncertain variational inequalities and game theory, providing out-of-sample feasibility guarantees and applying them to two classes of uncertain games, with numerical validation on a demand-response model.
Variational inequalities are modelling tools used to capture a variety of decision-making problems arising in mathematical optimization, operations research, game theory. The scenario approach is a set of techniques developed to tackle stochastic optimization problems, take decisions based on historical data, and quantify their risk. The overarching goal of this manuscript is to bridge these two areas of research, and thus broaden the class of problems amenable to be studied under the lens of the scenario approach. First and foremost, we provide out-of-samples feasibility guarantees for the solution of variational and quasi variational inequality problems. Second, we apply these results to two classes of uncertain games. In the first class, the uncertainty enters in the constraint sets, while in the second class the uncertainty enters in the cost functions. Finally, we exemplify the quality and relevance of our bounds through numerical simulations on a demand-response model.