Paper #200

Title:

A simple adaptive procedure leading to correlated equilibrium

Authors:

Sergiu Hart and Andreu Mas-Colell

Date:

March 1996 (Revised: December 1996)

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

JEL codes:

C70, C72, C73

Area of Research:

Microeconomics

Published in:

Econometrica, 68, 5, (2000), pp. 1127-1150,

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