Shanbhag awarded funding for research on studying competition under uncertainty

UNIVERSITY PARK, Pa. — Uday V. Shanbhag, associate professor of industrial engineering at Penn State, is part of a team of researchers that has been awarded $420,000 by the National Science Foundation Operations Research Program for a three-year research project titled, “Nash Equilibrium Problems under Uncertainty.”

The initiative is led by Jong-Shi Pang, Epstein Family Professor at the Daniel J. Epstein Department of Industrial and Systems Engineering at the University of Southern California (USC), and also includes Suvrajeet Sen, professor of systems and industrial engineering at USC.

This project focuses on a class of problems in non-cooperative game theory, a field that concerns the study of conflict resolution through the use of mathematical models and computational tools. Of particular interest is the Nash solution concept, first identified by John F. Nash Jr. in 1950, in which the Nash equilibrium is defined as the set of player strategies wherein no player has an incentive to deviate from his or her chosen strategy after considering an opponent's choice.

This project considers a class of problems in which players solve optimization issues, complicated by risk and uncertainty. Unfortunately, significant gaps exist in the mathematical foundations that support both the characterization, as well as computation, of such factors.  

The models also provide researchers with insights into how complex systems — such as communications, electric power and transportation networks — may be designed and operated while incorporating the technical constraints of the systems and also acknowledging the goals of multiple decision-makers that make choices in these uncertain competitive settings.

Examples of such competitive problems arise in the design of markets for electricity, explained Shanbhag. In such settings, game-theory models are often employed, with the intent of revealing flaws in the design and improving the efficiency of the market. However, such models generally assume that demand and supply for electricity is largely predictable and are therefore inadequate in terms of addressing the increasing unpredictability associated with both demand and supply — the latter a consequence of the growth of renewable generation.

The proposed research will build a foundation for the development of models and the supporting tools and techniques for analyzing and resolving such models, particularly in settings complicated by uncertainty and risk.

“Since the resolution of conflicts is such an important aspect in all facets of society, our research is expected to have a fundamental impact on the understanding of participant behavior in markets complicated by unpredictable variations, in competitive resource allocation problems under uncertainty, and in multi-agent decision making systems with risk aversion,” added Shanbhag. “The broader impact of the research includes the study of markets in power and communication networks, and the training and education of graduate students.”

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Last Updated December 11, 2015