Stochastic Nash Equilibrium Problems: Sample Average Approximation and Applications

Huifu Xu; Dali Zhang

edoc-Server der Humboldt-Universität zu Berlin

SPEPS Preprint

Author(s):	Huifu Xu, University of Southampton Dali Zhang, University of Southampton
Title:	Stochastic Nash Equilibrium Problems: Sample Average Approximation and Applications
Date of Acceptance:	19.12.2008
Submission Date:	01.11.2008
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-10094922)
Metadata export: To export the complete metadata set as Endote or Bibtex format please click to the appropriate link.	Endnote Bibtex
print on demand: If you click on this icon you can order a print copy of this publication.
Diese Seite taggen: These icons lead to social bookmarking systems where you can create and manage personal bookmarks and discover bookmakrs of other users.

Abstract (eng):

This paper presents a Nash equilibrium model where the underlying objective functions involve uncertainties and nonsmoothness. The well known sample average approximation method is applied to solve the problem and the ﬁrst order equilibrium conditions are characterized in terms of Clarke generalized gradients. Under some moderate conditions, it is shown that with probability one, a statistical estimator obtained from sample average approximate equilibrium problem converges to its true counterpart. Moreover, under some calmness conditions of the generalized gradients and metric regularity of the set-valued mappings which characterize the ﬁrst order equilibrium conditions, it is shown that with probability approaching one exponentially fast with the increase of sample size, the statistical estimator converge to its true counterparts. Finally, the model is applied to an equilibrium problem in electricity market.

Access Statistics:

These data concerning access statistics for individual documents have been compiled using the webserver log files aggregated by AWSTATS. They refer to a monthly access count to the full text documents as well as to the entry page.

As for format versions of a document which consist of multiple files (such as HTML) the highest monthly access number to one of the files (chapters) is shown respectivly.

To see the detailled access numbers please move the mouse pointer over the single bars of the digaram.

May
11

Jun
11

Jul
11

Aug
11

Sep
11

Oct
11

Nov
11

Dec
11

Jan
12

Feb
12

Apr
12

May
12

Jun
12

Jul
12

Aug
12

Sep
12

Oct
12

Nov
12

Dec
12

Jan
13

Apr
13

Monat	May 11	Jun 11	Jul 11	Aug 11	Sep 11	Oct 11	Nov 11	Dec 11	Jan 12	Feb 12	Apr 12	May 12	Jun 12	Jul 12	Aug 12	Sep 12	Oct 12	Nov 12	Dec 12	Jan 13	Apr 13
Startseite	4	2		4	5	3	1	5	7	3		7	3	3	5	4	3			5	1
PDF	6	2	4	3	11	4	4	3	7	2	18	29	44	33	15	25	44	43	21	21	21

Gesamtzahl der Zugriffe seit May 2011:

Startseite – 65 (3.1 pro Monat)
PDF – 360 (17.14 pro Monat)

Generated at 23.05.2013, 17:02:35

edoc-Server der Humboldt-Universität zu Berlin • Impressum • edoc@cms.hu-berlin.de • Nutzungsbedingungen • Haftungsausschluss • Statistik