correlated equilibria

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

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