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Consistency and Cautious Fictitious Play

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  • Drew Fudenberg
  • David K. Levine

Abstract

We study a variation of fictitious play, in which the probability of each action is an exponential function of that action's utility against the historical frequency of opponents' play. Regardless of the opponents' strategies, the utility received by an agent using this rule is nearly the best that could be achieved against the historical frequency. Such rules are approximately optimal in i.i.d. environments, and guarantee nearly the minmax regardless of opponents' behavior. Fictitious play shares these properties provided it switches 'infrequently' between actions. We also study the long-run outcomes when all players use consistent and cautious rules.

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File URL: http://www.dklevine.com/papers/c1-2v8.pdf
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Bibliographic Info

Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 470.

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Date of creation: 29 Oct 1996
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Handle: RePEc:cla:levarc:470

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Web page: http://www.dklevine.com/

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References

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  1. Young, H Peyton, 1993. "The Evolution of Conventions," Econometrica, Econometric Society, vol. 61(1), pages 57-84, January.
  2. Fudenberg Drew & Kreps David M., 1993. "Learning Mixed Equilibria," Games and Economic Behavior, Elsevier, vol. 5(3), pages 320-367, July.
  3. DeCanio, Stephen J, 1979. "Rational Expectations and Learning from Experience," The Quarterly Journal of Economics, MIT Press, vol. 93(1), pages 47-57, February.
  4. D. Blackwell & L. Dubins, 2010. "Merging of Opinions with Increasing Information," Levine's Working Paper Archive 565, David K. Levine.
  5. Anderlini, L. & Sabourian, H., 1991. "Cooperation and Effective Computability," Papers 167, Cambridge - Risk, Information & Quantity Signals.
  6. Lawrence E. Blume, 1994. "How Noise Matters," Game Theory and Information 9407002, EconWPA, revised 27 Jul 1994.
  7. A. Gaunersdorfer & J. Hofbauer, 2010. "Fictitious Play, Shapley Polygons and the Replicator Equation," Levine's Working Paper Archive 438, David K. Levine.
  8. L. Blume, 2010. "The Statistical Mechanics of Strategic Interaction," Levine's Working Paper Archive 488, David K. Levine.
  9. Drew Fudenberg & David K. Levine, 1993. "Steady State Learning and Nash Equilibrium," Levine's Working Paper Archive 373, David K. Levine.
  10. Foster, Dean P. & Vohra, Rakesh V., 1997. "Calibrated Learning and Correlated Equilibrium," Games and Economic Behavior, Elsevier, vol. 21(1-2), pages 40-55, October.
  11. Monderer, Dov & Samet, Dov & Sela, Aner, 1997. "Belief Affirming in Learning Processes," Journal of Economic Theory, Elsevier, vol. 73(2), pages 438-452, April.
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