Asymptotically efficient adaptive strategies in repeated games. (2). Asymptotic optimality

Asymptotically efficient adaptive strategies in repeated games. (2). Asymptotic optimality

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Article ID: iaor20041112
Country: United States
Volume: 21
Issue: 2
Start Page Number: 487
End Page Number: 512
Publication Date: May 1996
Journal: Mathematics of Operations Research
Authors:
Abstract:

This paper continues the analysis of a dynamic decision problem modeled as a two-person repeated game with random rewards, perfect observations, and incomplete information on one side. The emphasis is on strategies of player 1 (the uninformed player) which maximize his worst-case total reward in a strong non-Bayesian sense, namely, for all possible states of nature. An asymptotic bound on performance is first established, followed by the construction of strategies which achieve this bound. The analysis highlights the efficient acquisition of (statistical) information under conflict conditions, and especially the relations between information and payoff which are inherent in this problem.

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