Leo Kurpatow: Uncertain mixed strategy games

Abstract

This paper will deal with how to transform an uncertain 2 person game to a robust tractable program and how to solve such a program. The program that we will be using are second order programs (SOCP) and semi-definte programs (SDP). Both of these programs are some common conic programs (CP), which we will introduce through adapting linear programming (LP). There are some theorems and definitions that will frequently occur such as the duality theorem and Karuch-Kuhn-Tuckers conditions, that will be essential when we are creating our aspiring program. We will in the last section discuss how and in which fields robust programming is applied in.