Private and Third-Party Randomization in Risk-Sensitive Equilibrium Concepts

We consider risk-sensitive generalizations of Nash and correlated equilibria in noncooperative games. We prove that, except for a class of degenerate games, unless a two-player game has a pure Nash equilibrium, it does not have a risksensitive Nash equilibrium. We also show that every game has a risk-sensitive correlated equilibrium. The striking contrast between these existence results is due to the different sources of randomization in Nash (private randomization) and correlated equilibria (third-party randomization).

• Type: Conference
• Year: 2010
• Where: AAAI
• Authors: Mickey Brautbar, Michael Kearns, Umar Syed
• Keywords: AAAI 2010, Correlated Equilibria, Intelligent Agents, Nash Equilibrium, Pure Nash Equilibrium