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Correlated equilibria in continuous games: Characterization and computation

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  • Stein, Noah D.
  • Parrilo, Pablo A.
  • Ozdaglar, Asuman

Abstract

We present several new characterizations of correlated equilibria in games with continuous utility functions. These have the advantage of being more computationally and analytically tractable than the standard definition in terms of departure functions. We use these characterizations to construct effective algorithms for approximating a single correlated equilibrium or the entire set of correlated equilibria of a game with polynomial utility functions.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:gamebe:v:71:y:2011:i:2:p:436-455
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    References listed on IDEAS

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    1. Fabrizio Germano & Gábor Lugosi, 2007. "Existence of Sparsely Supported Correlated Equilibria," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(3), pages 575-578, September.
    2. Germano, Fabrizio & Lugosi, Gabor, 2007. "Global Nash convergence of Foster and Young's regret testing," Games and Economic Behavior, Elsevier, vol. 60(1), pages 135-154, July.
    3. Gilboa, Itzhak & Zemel, Eitan, 1989. "Nash and correlated equilibria: Some complexity considerations," Games and Economic Behavior, Elsevier, vol. 1(1), pages 80-93, March.
    4. Noah Stein & Asuman Ozdaglar & Pablo Parrilo, 2008. "Separable and low-rank continuous games," International Journal of Game Theory, Springer;Game Theory Society, vol. 37(4), pages 475-504, December.
    5. Aumann, Robert J, 1987. "Correlated Equilibrium as an Expression of Bayesian Rationality," Econometrica, Econometric Society, vol. 55(1), pages 1-18, January.
    6. Aumann, Robert J., 1974. "Subjectivity and correlation in randomized strategies," Journal of Mathematical Economics, Elsevier, vol. 1(1), pages 67-96, March.
    7. Foster, Dean P. & Young, H. Peyton, 2006. "Regret testing: learning to play Nash equilibrium without knowing you have an opponent," Theoretical Economics, Econometric Society, vol. 1(3), pages 341-367, September.
    8. anonymous, 1991. "Fed upgrades functional cost analysis program," Financial Update, Federal Reserve Bank of Atlanta, issue Win, pages 1-2,6.
    9. 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.
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    Cited by:

    1. Jess Benhabib & Pengfei Wang & Yi Wen, 2015. "Sentiments and Aggregate Demand Fluctuations," Econometrica, Econometric Society, vol. 83, pages 549-585, March.
    2. repec:spr:joptap:v:153:y:2012:i:1:d:10.1007_s10957-012-9988-6 is not listed on IDEAS

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