Efficiently Characterizing Games Consistent with Perturbed Equilibrium Observations

@inproceedings{Ziani2016EfficientlyCG,
  title={Efficiently Characterizing Games Consistent with Perturbed Equilibrium Observations},
  author={Juba Ziani and Venkat Chandrasekaran and Katrina Ligett},
  year={2016}
}
In this thesis, we study the problem of characterizing the set of games that are consistent with observed equilibrium play, a fundamental problem in econometrics. Our contribution is to develop and analyze a new methodology based on convex optimization to address this problem, for many classes of games and observation models of interest. Our approach provides a sharp, computationally efficient characterization of the extent to which a particular set of observations constrains the space of games… 

Figures from this paper

References

SHOWING 1-10 OF 34 REFERENCES

Inverse Game Theory: Learning Utilities in Succinct Games

The results show that rationalizing an equilibrium is computationally easier than computing it; from a practical perspective a practitioner can use the algorithms to validate behavioral models.

Empirical models of discrete games

Estimating Static Models of Strategic Interactions

We study the estimation of static games of incomplete information with multiple equilibria. A static game is a generalization of a discrete choice model, such as a multinomial logit or probit, which

Econometrics for Learning Agents

This paper shows how to infer values of players who use algorithmic learning strategies from observed data in the generalized second price auction, an important first step before moving to testing any learning theoretic behavioral model on auction data.

Confidence Regions for Parameters in Discrete Games with Multiple Equilibria, with an Application to Discount Chain Store Location

In this paper, we consider the empirical problem of estimating the underlying profit function of firms from “revealed choice” data on entry in a cross-section of oligopoly markets. One problem faced

Semiparametric estimation of a simultaneous game with incomplete information

A Note on Semiparametric Estimation of Finite Mixtures of Discrete Choice Models with Application to Game Theoretic Models

We view a game abstractly as a semiparametric mixture distribution and study the semiparametric efficiency bound of this model. Our results suggest that a key issue for inference is the number of

Pairwise-difference estimation of incomplete information games

Tractable stochastic analysis in high dimensions via robust optimization

This work proposes a new approach to analyze stochastic systems based on robust optimization, which replaces the Kolmogorov axioms and the concept of random variables as primitives of probability theory with uncertainty sets that are derived from some of the asymptotic implications of probabilities theory like the central limit theorem.

Incomplete Simultaneous Discrete Response Model with Multiple Equilibria

A bivariate simultaneous discrete response model which is a stochastic representation of equilibria in a two-person discrete game is studied. The presence of multiple equilibria in the underlying