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    Solving chance-constrained games using complementarity problems

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    International audienceIn this paper, we formulate the random bimatrix game as a chance-constrained game using chance constraint. We show that a Nash equilibrium problem, corresponding to independent normally distributed payoffs, is equivalent to a nonlinear complementarity problem. Further if the payoffs are also identically distributed, a strategy pair where each player’s strategy is the uniform distribution over his action set, is a Nash equilibrium. We show that a Nash equilibrium problem corresponding to independent Cauchy distributed payoffs, is equivalent to a linear complementarity problem
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