English, Article, Journal or magazine article edition: A Simple Adaptive Procedure Leading to Correlated Equilibrium Sergiu Hart; Andreu Mas-Colell

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Bookmark: http://trove.nla.gov.au/version/154122
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • A Simple Adaptive Procedure Leading to Correlated Equilibrium
Author
  • Sergiu Hart
  • Andreu Mas-Colell
Physical Description
  • preprint
Notes
  • We propose a new and simple adaptive procedure for playing a game: "regret-matching." In this procedure, players depart from their current play with probabilities that are proportional to measures of regret for not having used other strategies in the past. It is shown that our adaptive procedure guarantees that, with probability one, the empirical distributions of play converge to the set of correlated equilibria of the game. To compute these regret measures, a player needs to know his payoff function and the history of play. We also offer a variation where every player knows only his own realized payoff history (but not his payoff function).
  • RePEc:wpa:wuwpga:9703006
  • We propose a simple adaptive procedure for playing a game. In this procedure, players depart from their current play with probabilities that are proportional to measures of regret for not having used other strategies (these measures are updated every period). It is shown that our adaptive procedure guaranties that with probability one, the sample distributions of play converge to the set of correlated equilibria of the game. To compute these regret measures, a player needs to know his payoff function and the history of play. We also offer a variation where every player knows only his own realized payoff history (but not his payoff function).
  • Correlated equilibrium, Nash equilibrium, adaptive prodedure, regret, Blackwell approachability
  • RePEc:upf:upfgen:200
Language
  • English
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