Correlated Equilibrium - Learning Correlated Equilibria

Learning Correlated Equilibria

One of the advantages of correlated equilibria is that they are computationally less expensive than are Nash equilibria. This can be captured by the fact that computing a correlated equilibrium only requires solving a linear program whereas solving a Nash equilibrium requires finding its fixed point completely. Another way of seeing this is that it is possible for two players to respond to each other's historical plays of a game and end up converging to a correlated equilibrium.