Comparison of Information Structures for Zero-Sum Games and a Partial Converse to Blackwell Ordering in Standard Borel Spaces

DOI10.1137/20M1343701zbMATH Open1466.91040arXiv2005.06673MaRDI QIDQ4992012FDOQ4992012

Serdar Yüksel, Ian Hogeboom-Burr

Publication date: 4 June 2021

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Abstract: In statistical decision theory involving a single decision-maker, an information structure is said to be better than another one if for any cost function involving a hidden state variable and an action variable which is restricted to be conditionally independent from the state given some measurement, the solution value under the former is not worse than that under the latter. For finite spaces, a theorem due to Blackwell leads to a complete characterization on when one information structure is better than another. For stochastic games, in general, such an ordering is not possible since additional information can lead to equilibria perturbations with positive or negative values to a player. However, for zero-sum games in a finite probability space, Pk{e}ski introduced a complete characterization of ordering of information structures. In this paper, we obtain an infinite dimensional (standard Borel) generalization of Pk{e}ski's result. A corollary is that more information cannot hurt a decision maker taking part in a zero-sum game. We establish two supporting results which are essential and explicit though modest improvements on prior literature: (i) a partial converse to Blackwell's ordering in the standard Borel setup and (ii) an existence result for equilibria in zero-sum games with incomplete information.

Full work available at URL: https://arxiv.org/abs/2005.06673

zbMATH Keywords

zero-sum gamesincomplete informationlocally convex spacescomparison of information structures

Mathematics Subject Classification ID

Noncooperative games (91A10) Stochastic games, stochastic differential games (91A15) Games with incomplete information, Bayesian games (91A27)

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Cited In (4)

• Continuity Properties of Value Functions in Information Structures for Zero-Sum and General Games and Stochastic Teams
• Isomorphism Properties of Optimality and Equilibrium Solutions Under Equivalent Information Structure Transformations: Stochastic Dynamic Games and Teams
• Strategy synthesis for zero-sum neuro-symbolic concurrent stochastic games
• Zero-sum games involving teams against teams: existence of equilibria, and comparison and regularity in information

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