Computation of Correlated Equilibrium with Global-Optimal Expected Social Welfare |
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Authors: | Fook Wai Kong Polyxeni-Margarita Kleniati Berç Rustem |
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Institution: | (1) Department of Computing, South Kensington Campus, Imperial College, London, SW7 2AZ, UK;(2) Centre for Process Systems Engineering, South Kensington Campus, Imperial College, London, SW7 2AZ, UK |
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Abstract: | In this paper, we propose an algorithm which computes the correlated equilibrium with global-optimal (i.e., maximum) expected
social welfare for single stage polynomial games. We first derive tractable primal/dual semidefinite programming (SDP) relaxations
for an infinite-dimensional formulation of correlated equilibria. We give an asymptotic convergence proof, which ensures solving
the sequence of relaxations leads to solutions that converge to the correlated equilibrium with the highest expected social
welfare. Finally, we give a dedicated sequential SDP algorithm and demonstrate it in a wireless application with numerical
results. |
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Keywords: | |
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