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correlated equilibria

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



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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.

Iskander Karibzhanov
PhD student, Department of Economics
University of Minnesota

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