Journal
GAMES AND ECONOMIC BEHAVIOR
Volume 42, Issue 1, Pages 101-115Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/S0899-8256(03)00032-0
Keywords
regret-free strategy; sequential decision problem; approachability; replacing scheme
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In a sequential decision problem at any stage a decision maker, based on the history, takes a decision and receives a payoff which depends also on the realized state of nature. A strategy, f, is said to be as good as an alternative strategy g at a sequence of states, if in the long run f does, on average, at least as well as g does. It is shown that for any distribution, mu, over the alternative strategies there is a strategy f which is, at any sequence of states, as good as mu-almost any alternative g. (C) 2002 Elsevier Science (USA). All rights reserved.
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