Learning in games with cumulative prospect theoretic preferences

DOI10.1007/S13235-021-00398-9zbMATH Open1516.91017arXiv1804.08005OpenAlexW3191654969MaRDI QIDQ6159518FDOQ6159518

Authors: Soham R. Phade, Venkat Anantharam 

Publication date: 20 June 2023

Published in: Dynamic Games and Applications (Search for Journal in Brave)

Abstract: We consider repeated games where the players behave according to cumulative prospect theory (CPT). We show that, when the players have calibrated strategies and behave according to CPT, the natural analog of the notion of correlated equilibrium in the CPT case, as defined by Keskin, is not enough to capture all subsequential limits of the empirical distribution of action play. We define the notion of a mediated CPT correlated equilibrium via an extension of the stage game to a so-called mediated game. We then show, along the lines of the result of Foster and Vohra about convergence to the set of correlated equilibria when the players behave according to expected utility theory that, in the CPT case, under calibrated learning the empirical distribution of action play converges to the set of all mediated CPT correlated equilibria. We also show that, in general, the set of CPT correlated equilibria is not approachable in the Blackwell approachability sense. We observe that a mediated game is a specific type of a game with communication, as introduced by Myerson, and as a consequence we get that the revelation principle does not hold under CPT.

Full work available at URL: https://arxiv.org/abs/1804.08005

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zbMATH Keywords

game theoryrepeated gamescorrelated equilibriumcumulative prospect theoryno-regret learningcalibrated learning

Mathematics Subject Classification ID

Utility theory (91B16) Multistage and repeated games (91A20) Rationality and learning in game theory (91A26)

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Cited In (10)

• Title not available (Why is that?)
• Independent Log-Linear Learning in Potential Games With Continuous Actions
• Pattern recognition and subjective belief learning in a repeated constant-sum game
• Special issue: multi-agent dynamic decision making and learning
• Learning in extensive-form games. I: Self-confirming equilibria
• On the geometry of Nash and correlated equilibria with cumulative prospect theoretic preferences
• Equilibrium notions for agents with cumulative prospect theory preferences
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• Non-cooperative games with prospect theory players and dominated strategies
• Learning Preferences Under Noise and Loss Aversion: An Optimization Approach

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