Learning in games with cumulative prospect theoretic preferences
From MaRDI portal
Publication:6159518
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.
Recommendations
Cites work
- scientific article; zbMATH DE number 3128728 (Why is no real title available?)
- scientific article; zbMATH DE number 3069635 (Why is no real title available?)
- A Simple Adaptive Procedure Leading to Correlated Equilibrium
- Adaptive Heuristics
- Advances in prospect theory: cumulative representation of uncertainty
- An analog of the minimax theorem for vector payoffs
- Approachability in Stackelberg stochastic games with vector costs
- Asymptotic calibration
- Calibrated learning and correlated equilibrium
- Calibration and internal no-regret with random signals
- Conditioning as disintegration
- Consistency and cautious fictitious play
- Correlated Equilibrium as an Expression of Bayesian Rationality
- Equilibrium notions for agents with cumulative prospect theory preferences
- Equilibrium without independence
- L'Extension des Theories de l'Equilibre Economique General et du Rendement Social au Cas du Risque
- Loss aversion equilibrium
- Multistage Games with Communication
- Non-cooperative games
- On the geometry of Nash and correlated equilibria with cumulative prospect theoretic preferences
- On the geometry of Nash equilibria and correlated equilibria
- Prediction, Learning, and Games
- Prospect theory. For risk and ambiguity.
- Repeated games with incomplete information. With the collaboration of Richard E. Stearns
- Subjectivity and correlation in randomized strategies
- The Dual Theory of Choice under Risk
- The Probability Weighting Function
Cited in
(10)- scientific article; zbMATH DE number 7042419 (Why is no real title available?)
- 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
- scientific article; zbMATH DE number 18237 (Why is no real title available?)
- Non-cooperative games with prospect theory players and dominated strategies
- Learning Preferences Under Noise and Loss Aversion: An Optimization Approach
This page was built for publication: Learning in games with cumulative prospect theoretic preferences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6159518)
