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 ...
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).
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