Correlated Equilibria in Continuous Games: Characterization and Computation

TL;DR

This paper introduces new characterizations of correlated equilibria in continuous games, making them easier to compute and analyze, and provides algorithms for approximating equilibria in polynomial utility games.

Contribution

It offers novel, more tractable characterizations of correlated equilibria and develops algorithms for their approximation in continuous games with polynomial utilities.

Findings

New characterizations improve computational tractability

Algorithms effectively approximate correlated equilibria

Applicable to games with polynomial utility functions

Abstract

We present several new characterizations of correlated equilibria in games with continuous utility functions. These have the advantage of being more computationally and analytically tractable than the standard definition in terms of departure functions. We use these characterizations to construct effective algorithms for approximating a single correlated equilibrium or the entire set of correlated equilibria of a game with polynomial utility functions.