SIAM Journal on Control and Optimization


Robustness Properties in Fictitious-Play-Type Algorithms

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Article Data

History

Submitted: 9 September 2016
Accepted: 18 August 2017
Published online: 24 October 2017

Publication Data

ISSN (print): 0363-0129
ISSN (online): 1095-7138
CODEN: sjcodc

Fictitious play (FP) is a canonical game-theoretic learning algorithm which has been deployed extensively in decentralized control scenarios. However standard treatments of FP, and of many other game-theoretic models, assume rather idealistic conditions which rarely hold in realistic control scenarios. This paper considers a broad class of best response learning algorithms that we refer to as FP-type algorithms. In such an algorithm, given some (possibly limited) information about the history of actions, each individual forecasts the future play and chooses a (myopic) best response strategy given their forecast. We provide a unified analysis of the behavior of FP-type algorithms under an important class of perturbations, thus demonstrating robustness to deviations from the idealistic operating conditions that have been previously assumed. This robustness result is then used to derive convergence results for two control-relevant relaxations of standard game-theoretic applications: distributed (network-based) implementation without full observability and asynchronous deployment (including in continuous time). In each case the results follow as a direct consequence of the main robustness result.

© 2017, Society for Industrial and Applied Mathematics

Cited by

, , and . (2018) On Best-Response Dynamics in Potential Games. SIAM Journal on Control and Optimization 56:4, 2734-2767. Abstract | PDF (1522 KB)