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A Simple Adaptive Procedure Leading to Correlated Equilibrium

Paper:ewp-game/9703006
From: Sergiu Hart <   > 
ABSTRACT ONLY  ABSTRACT ONLY  ABSTRACT ONLY  ABSTRACT ONLY  ABSTRACT ONLY
Date: Mon, 24 Mar 1997 19:25:36 +0200 (IST)
Date (revised): Mon, 24 Mar 1997 19:32:18 +0200 (IST)
Date (revised): Tue, 25 Nov 1997 16:35:11 +0200 (IST)

Title: A Simple Adaptive Procedure Leading to Correlated Equilibrium
Author: Sergiu Hart (The Hebrew University of Jerusalem) and Andreu Mas-Colell (Universitat Pompeu Fabra, Barcelona)
Contact:
Comments: January 1997. Revised: October 1997. Paper + 3 figures (postscript). Also available at URL below
URL: http://www.ma.huji.ac.il/~hart/abs/learn.html
JEL: C72 D83
Keywords:
EWPA-References:
ED: could not create pdf file.
Report-no: Center for Rationality DP-126R

Abstract:

We propose a new and simple adaptive procedure for playing a game: "regret-matching." In this procedure, players depart from their current play with probabilities that are proportional to measures of regret for not having used other strategies in the past. It is shown that our adaptive procedure guarantees that, with probability one, the empirical distributions of play converge to the set of correlated equilibria of the game. To compute these regret measures, a player needs to know his payoff function and the history of play. We also offer a variation where every player knows only his own realized payoff history (but not his payoff function).

Postscript files:(viewing .ps)       archive: 9703006.ps or 9703006.ps.gz is 117929 bytes, 11-15-97.
    Multiple files are generally figures or tables.
      archive: 9703006f.ps or 9703006f.ps.gz is 14788 bytes, 10-25-97.
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