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correlated equilibria

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correlated equilibria

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10 Sep 2009 (Updated )

plot set of correlated equilibria and convex hull of Nash equilibria in 2 player normal form game

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Description

This program finds efficient/inefficient correlated equilibria that maximize/minimize weighted sum of the payoffs in a two player normal form game
     max/min w*U1(P)+(1-w)*U2(P)
    s.t. P is correlated equilibrium
where U1 and U2 are given n-by-m matrices of payoffs of two players.

Algorithm builds the linear inequalities that represent the rationality constraints for two players. The constraint matrix A is constructed so that if P is the probability distribution over joint actions, and if X=P(:), the correlated equilibrium constraints are A * X <= 0.

The program also plots the convex hull of found correlated equilibria together with the convex hull of given Nash equilibria which can be solved for by Gambit. http://gambit.sourceforge.net

Author:
Iskander Karibzhanov
PhD student, Department of Economics
University of Minnesota

Required Products Optimization Toolbox
MATLAB release MATLAB 7.9 (R2009b)
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Updates
23 Sep 2009

description updated

18 Mar 2010

no arc

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