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Global Nash convergence of Foster and Young's regret testing

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Abstract

We construct an uncoupled randomized strategy of repeated play such that, if every player follows such a strategy, then the joint mixed strategy profiles converge, almost surely, to a Nash equilibrium of the one-shot game. The procedure requires very little in terms of players' information about the game. In fact, players' actions are based only on their own past payoffs and, in a variant of the strategy, players need not even know that their payoffs are determined through other players' actions. The procedure works for general finite games and is based on appropriate modifications of a simple stochastic learning rule introduced by Foster and Young.

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Bibliographic Info

Paper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 788.

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Date of creation: Oct 2004
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Handle: RePEc:upf:upfgen:788

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Keywords: Regret testing; regret based learning; random search; stochastic dynamics; uncoupled dynamics; global convergence to Nash equilibria;

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  1. S. Hart & A. Mas-Collel, 2010. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Levine's Working Paper Archive 572, David K. Levine.
  2. Sergiu Hart & Andreu Mas-Colell, 2001. "Regret-Based Continuous-Time Dynamics," Discussion Paper Series dp309, The Center for the Study of Rationality, Hebrew University, Jerusalem, revised Apr 2003.
  3. Sergiu Hart, 2004. "Adaptive Heuristics," Discussion Paper Series dp372, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  4. Lawrence E. Blume & William R. Zame, 1993. "The Algebraic Geometry of Perfect and Sequential Equilibrium," Game Theory and Information 9309001, EconWPA.
  5. Foster, Dean P. & Young, H. Peyton, 2003. "Learning, hypothesis testing, and Nash equilibrium," Games and Economic Behavior, Elsevier, vol. 45(1), pages 73-96, October.
  6. Fudenberg, Drew & Levine, David, 1998. "Learning in games," European Economic Review, Elsevier, vol. 42(3-5), pages 631-639, May.
  7. Sergiu Hart & Andreu Mas-Colell, 2004. "Stochastic uncoupled dynamics and Nash equilibrium," Economics Working Papers 783, Department of Economics and Business, Universitat Pompeu Fabra.
  8. Eddie Dekel & Drew Fudenberg & David K. Levine, 2000. "Learning to Play Bayesian Games," Discussion Papers 1322, Northwestern University, Center for Mathematical Studies in Economics and Management Science, revised Jul 2001.
  9. Drew Fudenberg & David K. Levine, 1996. "Consistency and Cautious Fictitious Play," Levine's Working Paper Archive 470, David K. Levine.
  10. Stoltz, Gilles & Lugosi, Gabor, 2007. "Learning correlated equilibria in games with compact sets of strategies," Games and Economic Behavior, Elsevier, vol. 59(1), pages 187-208, April.
  11. 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.
  12. Fudenberg, Drew & Levine, David K, 1993. "Steady State Learning and Nash Equilibrium," Econometrica, Econometric Society, vol. 61(3), pages 547-73, May.
  13. Sergiu Hart & Andreu Mas-Colell, 1999. "A General Class of Adaptive Strategies," Game Theory and Information 9904001, EconWPA, revised 23 Mar 2000.
  14. Jordan J. S., 1995. "Bayesian Learning in Repeated Games," Games and Economic Behavior, Elsevier, vol. 9(1), pages 8-20, April.
  15. Sergiu Hart & Andreu Mas-Colell, 2003. "Uncoupled Dynamics Do Not Lead to Nash Equilibrium," American Economic Review, American Economic Association, vol. 93(5), pages 1830-1836, December.
  16. Amotz Cahn, 2004. "General procedures leading to correlated equilibria," International Journal of Game Theory, Springer, vol. 33(1), pages 21-40, January.
  17. E. Kalai & E. Lehrer, 2010. "Rational Learning Leads to Nash Equilibrium," Levine's Working Paper Archive 529, David K. Levine.
  18. Ritzberger, Klaus, 1994. "The Theory of Normal Form Games form the Differentiable Viewpoint," International Journal of Game Theory, Springer, vol. 23(3), pages 207-36.
  19. Jordan, J. S., 1991. "Bayesian learning in normal form games," Games and Economic Behavior, Elsevier, vol. 3(1), pages 60-81, February.
  20. Foster, Dean P. & Vohra, Rakesh, 1999. "Regret in the On-Line Decision Problem," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 7-35, October.
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Cited by:
  1. Marden, Jason R. & Shamma, Jeff S., 2012. "Revisiting log-linear learning: Asynchrony, completeness and payoff-based implementation," Games and Economic Behavior, Elsevier, vol. 75(2), pages 788-808.
  2. Yakov Babichenko, 2010. "Completely Uncoupled Dynamics and Nash Equilibria," Discussion Paper Series dp529, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  3. Sergiu Hart & Andreu Mas-Colell, 2004. "Stochastic uncoupled dynamics and Nash equilibrium," Economics Working Papers 783, Department of Economics and Business, Universitat Pompeu Fabra.
  4. Dean P Foster & Peyton Young, 2006. "Regret Testing Leads to Nash Equilibrium," Levine's Working Paper Archive 784828000000000676, David K. Levine.
  5. Itai Arieli & H Peyton Young, 2011. "Fast Convergence in Population Games," Economics Series Working Papers 570, University of Oxford, Department of Economics.
  6. Stein, Noah D. & Parrilo, Pablo A. & Ozdaglar, Asuman, 2011. "Correlated equilibria in continuous games: Characterization and computation," Games and Economic Behavior, Elsevier, vol. 71(2), pages 436-455, March.
  7. Heinrich H. Nax & Maxwell N. Burton-Chellew & Stuart A. West & H. Peyton Young, 2013. "Learning in a Black Box," PSE Working Papers hal-00817201, HAL.
  8. H Peyton Young & H.H. Nax & M.N. Burton-Chellew & S.A. West, 2013. "Learning in a Black Box," Economics Series Working Papers 653, University of Oxford, Department of Economics.
  9. Babichenko, Yakov, 2012. "Completely uncoupled dynamics and Nash equilibria," Games and Economic Behavior, Elsevier, vol. 76(1), pages 1-14.
  10. repec:hal:wpaper:hal-00817201 is not listed on IDEAS
  11. H. Peyton Young, 2007. "The Possible and the Impossible in Multi-Agent Learning," Economics Series Working Papers 304, University of Oxford, Department of Economics.
  12. Young, H. Peyton, 2009. "Learning by trial and error," Games and Economic Behavior, Elsevier, vol. 65(2), pages 626-643, March.
  13. Heinrich H. Nax & Bary S. R. Pradelski & H. Peyton Young, 2013. "The Evolution of Core Stability in Decentralized Matching Markets," Working Papers 2013.50, Fondazione Eni Enrico Mattei.
  14. Yakov Babichenko, 2012. "Best-Reply Dynamics in Large Anonymous Games," Discussion Paper Series dp600, The Center for the Study of Rationality, Hebrew University, Jerusalem.
  15. Vivaldo M. Mendes & Diana A. Mendes & Orlando Gomes, 2008. "Learning to Play Nash in Deterministic Uncoupled Dynamics," Working Papers Series 1 ercwp1808, ISCTE-IUL, Business Research Unit (BRU-IUL).
  16. H Peyton Young & Heinrich H. Nax & Bary S.R. Pradelski, 2012. "Decentralized dynamics and equitable core selection in assignment games," Economics Series Working Papers 607, University of Oxford, Department of Economics.
  17. Hart, Sergiu & Mansour, Yishay, 2010. "How long to equilibrium? The communication complexity of uncoupled equilibrium procedures," Games and Economic Behavior, Elsevier, vol. 69(1), pages 107-126, May.
  18. Sergiu Hart & Yishay Mansour, 2006. "The Communication Complexity of Uncoupled Nash Equilibrium Procedures," Levine's Bibliography 122247000000001299, UCLA Department of Economics.

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