Approachability with delayed information

David Lagziel; Ehud Lehrer

doi:10.1016/j.jet.2015.01.010

Approachability with delayed information

David Lagziel, Ehud Lehrer

School of Mathematical Sciences

Tel Aviv University

Research output: Contribution to journal › Article › peer-review

Abstract

We consider a sequential decision problem where the decision maker is informed of the actual payoff with delay. We introduce a new condition, which generalizes the condition given by Blackwell and ensures that the decision maker can approach a fixed closed and convex set under delay. We show how the convergence rate to the approachable set is sensitive to changes in the information lag and apply our approachability strategy to games with one-sided incomplete information and to regret-free strategies.

Original language	American English
Pages (from-to)	425-444
Number of pages	20
Journal	Journal of Economic Theory
Volume	157
DOIs	https://doi.org/10.1016/j.jet.2015.01.010
State	Published - 1 May 2015

Keywords

Approachability
Delayed information
Imperfect and asymmetric information

All Science Journal Classification (ASJC) codes

Economics and Econometrics

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10.1016/j.jet.2015.01.010

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abstract = "We consider a sequential decision problem where the decision maker is informed of the actual payoff with delay. We introduce a new condition, which generalizes the condition given by Blackwell and ensures that the decision maker can approach a fixed closed and convex set under delay. We show how the convergence rate to the approachable set is sensitive to changes in the information lag and apply our approachability strategy to games with one-sided incomplete information and to regret-free strategies.",

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AB - We consider a sequential decision problem where the decision maker is informed of the actual payoff with delay. We introduce a new condition, which generalizes the condition given by Blackwell and ensures that the decision maker can approach a fixed closed and convex set under delay. We show how the convergence rate to the approachable set is sensitive to changes in the information lag and apply our approachability strategy to games with one-sided incomplete information and to regret-free strategies.

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KW - Imperfect and asymmetric information

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Approachability with delayed information

Abstract

Keywords

All Science Journal Classification (ASJC) codes

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