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Convergence results on stochastic adaptive learning

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  • Naoki Funai

    (Ryutsu Keizai University)

Abstract

We investigate an adaptive learning model which nests several existing learning models such as payoff assessment learning, valuation learning, stochastic fictitious play learning, experience-weighted attraction learning and delta learning with foregone payoff information in normal form games. In particular, we consider adaptive players each of whom assigns payoff assessments to his own actions, chooses the action which has the highest assessment with some perturbations and updates the assessments using observed payoffs, which may include payoffs from unchosen actions. Then, we provide conditions under which the learning process converges to a quantal response equilibrium in normal form games.

Suggested Citation

  • Naoki Funai, 2019. "Convergence results on stochastic adaptive learning," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 68(4), pages 907-934, November.
  • Handle: RePEc:spr:joecth:v:68:y:2019:i:4:d:10.1007_s00199-018-1150-8
    DOI: 10.1007/s00199-018-1150-8
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    References listed on IDEAS

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    Cited by:

    1. Pablo S. Castro & Ajit Desai & Han Du & Rodney Garratt & Francisco Rivadeneyra, 2021. "Estimating Policy Functions in Payments Systems Using Reinforcement Learning," Staff Working Papers 21-7, Bank of Canada.
    2. Sawa, Ryoji, 2021. "A prospect theory Nash bargaining solution and its stochastic stability," Journal of Economic Behavior & Organization, Elsevier, vol. 184(C), pages 692-711.

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    More about this item

    Keywords

    Adaptive learning; Normal form games; Asynchronous stochastic approximation; Quantal response equilibrium;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness

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