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A Wide Range No-Regret Theorem

  • Ehud Lehrer

    (Tel Aviv U.)

  • Dinah Rosenberg

    (U. Paris Nord)

In a sequential decision problem at any stage a decision maker, based on the history, takes a decision and receives a payoff which depends also on the realized state of nature. A strategy, f, is said to be as good as an alternative strategy g at a sequence of states, if in the long run f does, on average, at least as well as g does. It is shown that for any distribution, P, over the alternative strategies there is a strategy f which is, at any sequence of states, as good as P-almost any alternative g.

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Paper provided by EconWPA in its series Game Theory and Information with number 0312004.

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Date of creation: 11 Dec 2003
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Handle: RePEc:wpa:wuwpga:0312004
Note: Type of Document - pdf
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  1. Ehud Lehrer, 2003. "Approachability in infinite dimensional spaces," International Journal of Game Theory, Springer, vol. 31(2), pages 253-268.
  2. Lehrer, E, 1989. "Lower Equilibrium Payoffs in Two-Player Repeated Games with Non-observable Actions," International Journal of Game Theory, Springer, vol. 18(1), pages 57-89.
  3. Fudenberg, Drew & Levine, David, 1999. "Conditional Universal Consistency," Scholarly Articles 3204826, Harvard University Department of Economics.
  4. Rustichini, Aldo, 1999. "Minimizing Regret: The General Case," Games and Economic Behavior, Elsevier, vol. 29(1-2), pages 224-243, October.
  5. Sergiu Hart & Andreu Mas-Colell, 2000. "A Simple Adaptive Procedure Leading to Correlated Equilibrium," Econometrica, Econometric Society, vol. 68(5), pages 1127-1150, September.
  6. Nau, Robert F. & McCardle, Kevin F., 1990. "Coherent behavior in noncooperative games," Journal of Economic Theory, Elsevier, vol. 50(2), pages 424-444, April.
  7. 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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