A Simple Adaptive Procedure
Leading to Correlated Equilibrium
Sergiu Hart and Andreu Mas-Colell
We propose a new and
simple adaptive procedure for playing a game: "regret-matching."
players may depart from their current play with probabilities that are
proportional to measures of regret for not having used other
strategies in the past.
It is shown that our adaptive
guarantees that, with probability one, the empirical distributions of
converge to the set of correlated equilibria of the game.
Journal of Economic Literature Classification Numbers: C72, D83
Econometrica 68 (2000), 5, 1127-1150