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2008-12-19Buch DOI: 10.18452/8398
Stochastic Nash Equilibrium Problems: Sample Average Approximation and Applications
dc.contributor.authorXu, Huifu
dc.contributor.authorZhang, Dali
dc.contributor.editorHigle, Julie L.
dc.contributor.editorRömisch, Werner
dc.contributor.editorSen, Surrajeet
dc.date.accessioned2017-06-16T20:18:49Z
dc.date.available2017-06-16T20:18:49Z
dc.date.created2009-01-05
dc.date.issued2008-12-19
dc.date.submitted2008-11-01
dc.identifier.urihttp://edoc.hu-berlin.de/18452/9050
dc.description.abstractThis paper presents a Nash equilibrium model where the underlying objective functionsinvolve uncertainties and nonsmoothness. The well known sample average approximationmethod 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 approximateequilibrium problem converges to its true counterpart. Moreover, under some calmness conditions of the generalized gradients and metric regularity of the set-valued mappings whichcharacterize the first order equilibrium conditions, it is shown that with probability approaching one exponentially fast with the increase of sample size, the statistical estimatorconverge to its true counterparts. Finally, the model is applied to an equilibrium problem inelectricity market.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, Institut für Mathematik
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subject.ddc510 Mathematik
dc.titleStochastic Nash Equilibrium Problems: Sample Average Approximation and Applications
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10094922
dc.identifier.doihttp://dx.doi.org/10.18452/8398
local.edoc.pages33
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
dc.identifier.zdb2936317-2
bua.series.nameStochastic Programming E-Print Series
bua.series.issuenumber2008,14

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