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Approximation of Nash equilibria in Bayesian games
Author(s) -
Armantier Olivier,
Florens JeanPierre,
Richard JeanFrancois
Publication year - 2008
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.1040
Subject(s) - bayesian probability , flexibility (engineering) , class (philosophy) , mathematical economics , nash equilibrium , computer science , bayesian game , series (stratigraphy) , sequence (biology) , mathematical optimization , mathematics , game theory , artificial intelligence , repeated game , statistics , biology , paleontology , genetics
We define a new concept of constrained strategic equilibrium (CSE) for Bayesian games. We show that a sequence of CSEs approximates an equilibrium under standard conditions. We also provide an algorithm to implement the CSE approximation method numerically in a broad class of Bayesian games, including games without analytically tractable solutions. Finally, we illustrate the flexibility of the CSE approximation with a series of auction examples, including a complex multi‐unit auction. Copyright © 2008 John Wiley & Sons, Ltd.
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