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Convex Analysisの二,三の進展について

In statistical decision theory involving a single decision maker, an information structure is said to be better than another one if for any cost function involving a hidden state variable and an ac...

Comparison of Information Structures for Zero-Sum Games and a Partial Converse to Blackwell Ordering in Standard Borel Spaces

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Zero-sum games involving teams against teams: Existence of equilibria, and comparison and regularity in information

We study continuity properties of stochastic game problems with respect to various topologies on information structures, defined as probability measures characterizing a game. We will establish continuity properties of the value function under total variation, setwise, and weak convergence of information structures. Our analysis reveals that the value function for a bounded game is continuous under total variation convergence of information structures in both zero-sum games and team problems. Continuity may fail to hold under setwise or weak convergence of information structures, however, the value function exhibits upper semicontinuity properties under weak and setwise convergence of information structures for team problems, and upper or lower semicontinuity properties hold for zero-sum games when such convergence is through a Blackwell-garbled sequence of information structures. If the individual channels are independent, fixed, and satisfy a total variation continuity condition, then the value functions are continuous under weak convergence of priors. We finally show that value functions for players may not be continuous even under total variation convergence of information structures in general non-zero-sum games.

Continuity Properties of Value Functions in Information Structures for Zero-Sum and General Games and Stochastic Teams

In statistical decision theory involving a single decision-maker, an information structure is said to be better than another one if for any cost function involving a hidden state variable and an action variable which is restricted to be conditionally independent from the state given some measurement, the solution value under the former is not worse than that under the latter. For finite spaces, a theorem due to Blackwell leads to a complete characterization on when one information structure is better than another. For stochastic games, in general, such an ordering is not possible since additional information can lead to equilibria perturbations with positive or negative values to a player. However, for zero-sum games in a finite probability space, Peski introduced a complete characterization of ordering of information structures. In this paper, we obtain an infinite dimensional (standard Borel) generalization of Peski's result. A corollary is that more information cannot hurt a decision maker taking part in a zero-sum game. We establish two supporting results which are essential and explicit though modest improvements on prior literature: (i) a partial converse to Blackwell's ordering in the standard Borel setup and (ii) an existence result for equilibria in zero-sum games with incomplete information.

In statistical decision theory involving a single decision-maker, one says that an information structure is better than another one if for any cost function involving a hidden state variable and an action variable which is restricted to be only a function of some measurement, the solution value under the former is not worse than the value under the latter. For finite probability spaces, Blackwell’s celebrated theorem on comparison of information structures leads to a complete characterization on when one information structure is better than another. For stochastic games with incomplete information, due to the presence of competition among decision makers, in general such an ordering is not possible since additional information can lead to equilibria perturbations with positive or negative values to a player. However, for zero-sum games in a finite probability space, Peski introduced a complete characterization of ordering of information structures. In this paper, we obtain an infinite dimensional (standard Borel) generalization of Peski’s result. A corollary of our analysis is that more information cannot hurt a decision maker taking part in a zero-sum game in standard Borel spaces. During our analysis, we establish two novel supporting results: (i) a refined existence result for equilibria in zero-sum games with incomplete information when compared with the prior literature and ii) a partial converse to Blackwell’s ordering of information structures in the standard Borel space setup.

Ian Hogeboom-Burr

Papers

Comparison of Information Structures for Zero-Sum Games and a Partial Converse to Blackwell Ordering in Standard Borel Spaces

Zero-sum games involving teams against teams: Existence of equilibria, and comparison and regularity in information

Continuity Properties of Value Functions in Information Structures for Zero-Sum and General Games and Stochastic Teams

Comparison of Information Structures for Zero-Sum Games and a Partial Converse to Blackwell Ordering in Standard Borel Spaces

Comparison of Information Structures for Zero-Sum Games in Standard Borel Spaces