On the impossibility of regret minimization in repeated games

Arbeitspapier

Regret minimizing strategies for repeated games have been receiving increasing attention in the literature. These are simple adaptive behavior rules that exhibit nice convergence properties. If all players follow regret minimizing strategies, their average joint play converges to the set of correlated equilibria or to the Hannan set (depending on the notion of regret in use), or even to Nash equilibrium on certain classes of games. In this note we raise the question of validity of the regret minimization objective. By example we show that regret minimization can lead to unrealistic behavior, since it fails to take into account the effect of one's actions on subsequent behavior of the opponents. An amended notion of regret that corrects this defect is not very useful either, since achieving a no-regret objective is not guaranteed in that case.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper ; No. 676

Classification and Topics

• Classification: Wirtschaft ; Stochastic and Dynamic Games; Evolutionary Games; Repeated Games ; Criteria for Decision-Making under Risk and Uncertainty
• Subject: repeated games, regret minimization, no-regret strategy ; Spieltheorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Schlag, Karl ; Zapechelnyuk, Andriy
• Event: Veröffentlichung
• (who): Queen Mary University of London, School of Economics and Finance
• (where): London
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/55190
• Last update: 10.03.2025, 11:44 AM CET