# Stochastic Programs as Nonzero Sum Games

• Jati K. Sengupta
Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 193)

## Abstract

A linear programming (LP) model for determining an optimal decision vector x, which satisfies the following system
$$\max \text{ z={c}x}$$
(1.1)
$$\text{subject to x }\!\!\varepsilon\!\!\text{ R, R:}\left\{ \text{x Ax }\le \text{ b, x }\ge \text{ 0} \right\}$$
(1.2)
may be related to a two-person game-theoretic formulation in two ways. In the first case, which is based on the saddle point property of the optimal solution of the LP problem, the two players have an identical strategy space, say $$p' = \left( {\bar{x}',\bar{y}',\bar{v}} \right) = q'$$ and the payoff matrix is B:
$$B:\left[ {\begin{array}{*{20}{c}} 0 & { - A'} & c \\ A & 0 & { - b} \\ { - c'} & {b'} & 0 \\ \end{array} } \right]$$
(2.1)

## Keywords

Nash Equilibrium Payoff Function Stochastic Program Linear Programming Model Nash Equilibrium Strategy
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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