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2943. Coalitional Acceptability Games: A Framework for Risk-averse Stochastic Coalitional Games
Invited abstract in session TB-35: Risk Averse and Contextual Stochastic Optimization, stream Stochastic, Robust and Distributionally Robust Optimization.
Tuesday, 10:30-12:00Room: 44 (building: 303A)
Authors (first author is the speaker)
| 1. | David Wozabal
|
| Vrije Universiteit Amsterdam | |
| 2. | Walter Gutjahr
|
| Department of Statistics and Operations Research, University of Vienna | |
| 3. | Raimund Kovacevic
|
| Department für Wirtschaft und Gesundheit, Universität Krems |
Abstract
We study the problem of coalition formation and profit sharing among risk-averse agents who jointly undertake a project which requires management decisions and leads to uncertain outcomes. We use acceptability functionals to model the agents’ risk preferences and define the value of coalitions by the optimized sup-convolution of their acceptability functionals. We call such games coalitional acceptability games and provide conditions for the non-emptiness of the core for important subclasses of games such as network games, bankruptcy games, and generalized production games. We show that players agree on ex-ante contracts that are equivalent to a mutual exchange of standard options contracts. Finally, we illustrate our approach with two numerical examples: a water management application and a detailed case study of a virtual power plant.
Keywords
- Programming, Stochastic
- Game Theory
- OR in Energy
Status: accepted
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