Penalty-regulated dynamics and robust learning procedures in games
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Publication:3449451
DOI10.1287/MOOR.2014.0687zbMATH Open1377.91033arXiv1303.2270OpenAlexW2116718598WikidataQ60142071 ScholiaQ60142071MaRDI QIDQ3449451FDOQ3449451
Authors: Pierre Coucheney, Bruno Gaujal, Panayotis Mertikopoulos 
Publication date: 4 November 2015
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Abstract: Starting from a heuristic learning scheme for N-person games, we derive a new class of continuous-time learning dynamics consisting of a replicator-like drift adjusted by a penalty term that renders the boundary of the game's strategy space repelling. These penalty-regulated dynamics are equivalent to players keeping an exponentially discounted aggregate of their on-going payoffs and then using a smooth best response to pick an action based on these performance scores. Owing to this inherent duality, the proposed dynamics satisfy a variant of the folk theorem of evolutionary game theory and they converge to (arbitrarily precise) approximations of Nash equilibria in potential games. Motivated by applications to traffic engineering, we exploit this duality further to design a discrete-time, payoff-based learning algorithm which retains these convergence properties and only requires players to observe their in-game payoffs: moreover, the algorithm remains robust in the presence of stochastic perturbations and observation errors, and it does not require any synchronization between players.
Full work available at URL: https://arxiv.org/abs/1303.2270
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Cited In (20)
- Replicator dynamics: old and new
- Population games and discrete optimal transport
- Riemannian game dynamics
- Learning in games with continuous action sets and unknown payoff functions
- A STOCHASTIC APPROXIMATION ALGORITHM FOR STOCHASTIC SEMIDEFINITE PROGRAMMING
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