On the convergence of regret minimization dynamics in concave games

  • Authors:
  • Eyal Even-dar;Yishay Mansour;Uri Nadav

  • Affiliations:
  • Google research, New York, USA;Tel Aviv University and Google Research, New York, USA;Tel Aviv University, Tel Aviv, Israel

  • Venue:
  • Proceedings of the forty-first annual ACM symposium on Theory of computing
  • Year:
  • 2009

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Abstract

We study a general sub-class of concave games which we call socially concave games. We show that if each player follows any no-external regret minimization procedure then the dynamics will converge in the sense that both the average action vector will converge to a Nash equilibrium and that the utility of each player will converge to her utility in that Nash equilibrium. We show that many natural games are indeed socially concave games. Specifically, we show that linear Cournot competition and linear resource allocation games are socially-concave games, and therefore our convergence result applies to them. In addition, we show that a simple best response dynamics might diverge for linear resource allocation games, and is known to diverge for linear Cournot competition. For the TCP congestion games we show that "near" the equilibrium the games are socially-concave, and using our general methodology we show the convergence of a specific regret minimization dynamics.