A simple adaptive procedure leading to correlated equilibrium
AbstractWe 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).
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Bibliographic InfoPaper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 200.
Date of creation: Mar 1996
Date of revision: Dec 1996
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Web page: http://www.econ.upf.edu/
Correlated equilibrium; Nash equilibrium; adaptive prodedure; regret; Blackwell approachability;
Other versions of this item:
- Sergiu Hart & Andreu Mas-Colell, 2000. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Econometrica, Econometric Society, vol. 68(5), pages 1127-1150, September.
- Sergiu Hart & Andreu Mas-Colell, 1997. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Game Theory and Information 9703006, EconWPA, revised 24 Mar 1997.
- S. Hart & A. Mas-Collel, 2010. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Levine's Working Paper Archive 572, David K. Levine.
- C70 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - General
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
- C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
This paper has been announced in the following NEP Reports:
- NEP-ALL-1998-09-14 (All new papers)
- NEP-EVO-1998-09-14 (Evolutionary Economics)
- NEP-EXP-1998-09-14 (Experimental Economics)
- NEP-GTH-1998-09-14 (Game Theory)
- NEP-IFN-1998-09-14 (International Finance)
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