On data-driven Wasserstein distributionally robust Nash equilibrium problems with heterogeneous uncertainty

Abstract: We study stochastic Nash equilibrium problems subject to heterogeneous uncertainty on the cost functions of the individual agents. In our setting, we assume no prior knowledge of the underlying probability distributions of the uncertain variables. To account for this lack of knowledge, we consider an ambiguity set around the empirical probability distribution under the Wasserstein metric. We then show that, under mild assumptions, finite-sample guarantees on the probability that any resulting distributionally robust Nash equilibrium is also robust with respect to the true probability distributions with high confidence can be obtained. Furthermore, by recasting the game as a distributionally robust variational inequality, we establish asymptotic convergence of the set of data-driven distributionally robust equilibria to the solution set of the original game. Finally, we recast the distributionally robust Nash game as a finite-dimensional Nash equilibrium problem. We illustrate the proposed distributionally robust reformulation via numerical experiments of stochastic Nash-Cournot games.