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On the Impossibility of Regret Minimization in Repeated Games

Author

Listed:
  • Karl Schlag

    (University of Vienna)

  • Andriy Zapechelnyuk

    (Queen Mary, University of London)

Abstract

Regret minimizing strategies for repeated games have been receiving increasing attention in the literature. These are simple adaptive behavior rules that exhibit nice convergence properties. If all players follow regret minimizing strategies, their average joint play converges to the set of correlated equilibria or to the Hannan set (depending on the notion of regret in use), or even to Nash equilibrium on certain classes of games. In this note we raise the question of validity of the regret minimization objective. By example we show that regret minimization can lead to unrealistic behavior, since it fails to take into account the effect of one's actions on subsequent behavior of the opponents. An amended notion of regret that corrects this defect is not very useful either, since achieving a no-regret objective is not guaranteed in that case

Suggested Citation

  • Karl Schlag & Andriy Zapechelnyuk, 2010. "On the Impossibility of Regret Minimization in Repeated Games," Working Papers 676, Queen Mary University of London, School of Economics and Finance.
  • Handle: RePEc:qmw:qmwecw:676
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Repeated games; Regret minimization; No-regret strategy;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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