Generalised Fictitious Play for a Continuum of Anonymous Players


Rabinovich, Zinovi, Gerding, Enrico, Polukarov, Maria and Jennings, Nicholas R. (2009) Generalised Fictitious Play for a Continuum of Anonymous Players. In, Proceedings of the 21st International Joint Conference on Artificial Intelligence (IJCAI), Pasadena, USA, , 245-250.

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Description/Abstract

Recently, efficient approximation algorithms for finding Nash equilibria have been developed for the interesting class of {\it anonymous games}, where a player's utility does not depend on the identity of its opponents. In this paper, we tackle the problem of computing equilibria in such games with {\it continuous player types}, extending the framework to encompass settings with imperfect information. In particular, given the existence result for pure Bayes-Nash equilibiria in these games, we generalise the {\it fictitious play algorithm} by developing a novel procedure for finding a best response strategy, which is specifically designed to deal with continuous and, therefore, infinite type spaces. We then combine the best response computation with the general fictitious play structure to obtain an equilibrium. To illustrate the power of this approach, we apply our algorithm to the domain of simultaneous auctions with continuous private values and discrete bids, in which the algorithm shows quick convergence.

Item Type: Conference or Workshop Item (Paper)
Additional Information: to appear
Divisions: Faculty of Physical Sciences and Engineering > Electronics and Computer Science > Agents, Interactions & Complexity
ePrint ID: 267271
Date Deposited: 10 Apr 2009 12:31
Last Modified: 28 Mar 2014 15:11
Projects:
Market Based Control of Complex Computational Systems
Funded by: EPSRC (GR/T10664/01)
25 February 2005 to 24 March 2010
Further Information:Google Scholar
ISI Citation Count:3
URI: http://eprints.soton.ac.uk/id/eprint/267271

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