Multi-Objective Optimization Approach to Pure Strategy Equilibria in Games With Imperfect Information

Jianan Jian, Bo Zeng, Zhi-Hong Mao

Abstract: Without the expected utility hypothesis, games with imperfect information can be understood as coupled multi-objective optimizations. Within this framework, equilibria of non-dominated responses are defined and their existence is studied. One class of these equilibria is formulated as Nash equilibria of normal-form games. Another class of these equilibria is formulated with payoff constraints interpreted as robustness of the games. A concrete example is presented and solution methodologies are discussed.