Correlated Equilibria in Extensive Form Games

Features

  • Specify multi-player extensive form games as tree structures, with potentially imperfect information
    • Convert from extensive form to normal (strategic) form games
    • Convert from extensive form to sequence form games
  • Compute correlated equilibria using linear programming techniques
    • Simplex
    • Lemke-Howlson
  • Reinforcement Learning Algorithms
    • Weighted Majority
    • Perturbed Follow-the-Leader
    • Regularized Follow-the-Leader

Coming Soon in Feb. 2020

  • Compute correlated equilibria using counterfactual regret minimization algorithms

Reference Papers

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Reca Sarfati
Senior Research Analyst

I am a Senior Research Analyst on the dynamic stochastic general equilibrium (DSGE) team in the Macroeconomic and Monetary Studies function at the NY Fed. Views expressed are my own.

Publications

Learning Correlated Equilibria in Extensive Form Games

We formalize an efficient class of counterfactual regret minimization algorithms exploiting the “sequence form” to compute …