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On the Impossibility of Regret Minimization in Repeated Games

Karl Schlag () and Andriy Zapechelnyuk

No 676, Working Papers from Queen Mary University of London, School of Economics and Finance

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.

Keywords: Repeated games; Regret minimization; No-regret strategy (search for similar items in EconPapers)
JEL-codes: C73 D81 (search for similar items in EconPapers)
Date: 2010-12
New Economics Papers: this item is included in nep-gth and nep-hpe
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