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A simple adaptive procedure leading to correlated equilibrium

Sergiu Hart and Andreu Mas-Colell

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We propose a simple adaptive procedure for playing a game. In this procedure, players depart from their current play with probabilities that are proportional to measures of regret for not having used other strategies (these measures are updated every period). It is shown that our adaptive procedure guaranties that with probability one, the sample 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).

Keywords: Correlated equilibrium; Nash equilibrium; adaptive prodedure; regret; Blackwell approachability (search for similar items in EconPapers)
JEL-codes: C70 C72 C73 (search for similar items in EconPapers)
Date: 1996-03, Revised 1996-12
New Economics Papers: this item is included in nep-evo, nep-exp, nep-gth and nep-ifn
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Citations: View citations in EconPapers (14)

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Related works:
Chapter: A SIMPLE ADAPTIVE PROCEDURE LEADING TO CORRELATED EQUILIBRIUM (2013) Downloads
Working Paper: A Simple Adaptive Procedure Leading to Correlated Equilibrium (2010) Downloads
Journal Article: A Simple Adaptive Procedure Leading to Correlated Equilibrium (2000)
Working Paper: A Simple Adaptive Procedure Leading to Correlated Equilibrium (1997) Downloads
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