TY - JOUR
T1 - On the robustness of learning in games with stochastically perturbed payoff observations
AU - Bravo, Mario
AU - Mertikopoulos, Panayotis
N1 - Publisher Copyright:
© 2016 Elsevier Inc.
PY - 2017/5
Y1 - 2017/5
N2 - Motivated by the scarcity of accurate payoff feedback in practical applications of game theory, we examine a class of learning dynamics where players adjust their choices based on past payoff observations that are subject to noise and random disturbances. First, in the single-player case (corresponding to an agent trying to adapt to an arbitrarily changing environment), we show that the stochastic dynamics under study lead to no regret almost surely, irrespective of the noise level in the player's observations. In the multi-player case, we find that dominated strategies become extinct and we show that strict Nash equilibria are stochastically stable and attracting; conversely, if a state is stable or attracting with positive probability, then it is a Nash equilibrium. Finally, we provide an averaging principle for 2-player games, and we show that in zero-sum games with an interior equilibrium, time averages converge to Nash equilibrium for any noise level.
AB - Motivated by the scarcity of accurate payoff feedback in practical applications of game theory, we examine a class of learning dynamics where players adjust their choices based on past payoff observations that are subject to noise and random disturbances. First, in the single-player case (corresponding to an agent trying to adapt to an arbitrarily changing environment), we show that the stochastic dynamics under study lead to no regret almost surely, irrespective of the noise level in the player's observations. In the multi-player case, we find that dominated strategies become extinct and we show that strict Nash equilibria are stochastically stable and attracting; conversely, if a state is stable or attracting with positive probability, then it is a Nash equilibrium. Finally, we provide an averaging principle for 2-player games, and we show that in zero-sum games with an interior equilibrium, time averages converge to Nash equilibrium for any noise level.
KW - Dominated strategies
KW - Learning
KW - Nash equilibrium
KW - Regret minimization
KW - Regularization
KW - Robustness
KW - Stochastic game dynamics
KW - Stochastic stability
UR - http://www.scopus.com/inward/record.url?scp=84979650088&partnerID=8YFLogxK
U2 - 10.1016/j.geb.2016.06.004
DO - 10.1016/j.geb.2016.06.004
M3 - Article
AN - SCOPUS:84979650088
SN - 0899-8256
VL - 103
SP - 41
EP - 66
JO - Games and Economic Behavior
JF - Games and Economic Behavior
ER -