A Simple Adaptive Procedure Leading to Correlated Equilibrium

Sergiu Hart () and Andreu Mas-Colell
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Andreu Mas-Colell: Universitat Pompeu Fabra, Barcelona

Game Theory and Information from EconWPA

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).

JEL-codes: C72 D83 (search for similar items in EconPapers)
Date: Written
Note: January 1997. Revised: October 1997. Paper + 3 figures (postscript). Also available at URL below
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Related works:
Working Paper: A Simple Adaptive Procedure Leading to Correlated Equilibrium (1996)
Journal Article: A Simple Adaptive Procedure Leading to Correlated Equilibrium (2000)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpga:9703006

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