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Multi-agent Bayesian Learning with Best Response Dynamics: Convergence and Stability
- Publication Year :
- 2021
-
Abstract
- We study learning dynamics induced by strategic agents who repeatedly play a game with an unknown payoff-relevant parameter. In this dynamics, a belief estimate of the parameter is repeatedly updated given players' strategies and realized payoffs using Bayes's rule. Players adjust their strategies by accounting for best response strategies given the belief. We show that, with probability 1, beliefs and strategies converge to a fixed point, where the belief consistently estimates the payoff distribution for the strategy, and the strategy is an equilibrium corresponding to the belief. However, learning may not always identify the unknown parameter because the belief estimate relies on the game outcomes that are endogenously generated by players' strategies. We obtain sufficient and necessary conditions, under which learning leads to a globally stable fixed point that is a complete information Nash equilibrium. We also provide sufficient conditions that guarantee local stability of fixed point beliefs and strategies.<br />Comment: arXiv admin note: text overlap with arXiv:2010.09128
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2109.00719
- Document Type :
- Working Paper