In the context of team Cornet’s seminars, Omar Boufous (OrangeLabs) will present his research work on Learning a Correlated Equilibrium with Perturbed Regret Minimization, on October 22, 2021, at 11:35 in the meeting room.
Abstract: We consider the problem of learning a correlated equilibrium of a finite non-cooperative game and show a new learning procedure, called Correlated Perturbed Regret Minimization (CPRM), for this purpose. CPRM uses a perturbed variant of a regret minimization to approach the set of correlated equilibrium distributions and a simple correlation device to stabilize the empirical probability distribution over action profiles. Numerical experiments provide evidence of the long run convergence of the realized sample paths to points in the set of approximate correlated equilibrium distributions. Additional simulation results suggest that CPRM is adaptive to changes in the game such as departures or arrivals of players.