Dynamic Games with Asymmetric Information: Common Information Based Perfect Bayesian Equilibria and Sequential Decomposition
Yi Ouyang, Hamidreza Tavafoghi, Demos Teneketzis

Citation
Yi Ouyang, Hamidreza Tavafoghi, Demos Teneketzis. "Dynamic Games with Asymmetric Information: Common Information Based Perfect Bayesian Equilibria and Sequential Decomposition". IEEE Transactions on Automatic Control, 2016.

Abstract
We formulate and analyze a general class of stochastic dynamic games with asymmetric information arising in dynamic systems. In such games, multiple strategic agents control the system dynamics and have different information about the system over time. Because of the presence of asymmetric information, each agent needs to form beliefs about other agents’ private information. Therefore, the specification of the agents’ beliefs along with their strategies is necessary to study the dynamic game. We use Perfect Bayesian equilibrium (PBE) as our solution concept. A PBE consists of a pair of strategy profile and belief system. In a PBE, every agent’s strategy should be a best response under the belief system, and the belief system depends on agents’ strategy profile when there is signaling among agents. Therefore, the circular dependence between strategy profile and belief system makes it difficult to compute PBE. Using the common information among agents, we introduce a subclass of PBE called common information based perfect Bayesian equilibria (CIB-PBE), and provide a sequential decomposition of the dynamic game. Such decomposition leads to a backward induction algorithm to compute CIB-PBE. We illustrate the sequential decomposition with an example of a multiple access broadcast game. We prove the existence of CIBPBE for a subclass of dynamic games.

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  • HTML
    Yi Ouyang, Hamidreza Tavafoghi, Demos Teneketzis. <a
    href="http://www.cps-forces.org/pubs/155.html"
    >Dynamic Games with Asymmetric Information: Common
    Information Based Perfect Bayesian Equilibria and Sequential
    Decomposition</a>, <i>IEEE Transactions on
    Automatic Control</i>,  2016.
  • Plain text
    Yi Ouyang, Hamidreza Tavafoghi, Demos Teneketzis.
    "Dynamic Games with Asymmetric Information: Common
    Information Based Perfect Bayesian Equilibria and Sequential
    Decomposition". <i>IEEE Transactions on Automatic
    Control</i>,  2016.
  • BibTeX
    @article{OuyangTavafoghiTeneketzis16_DynamicGamesWithAsymmetricInformationCommonInformation,
        author = {Yi Ouyang and Hamidreza Tavafoghi and Demos
                  Teneketzis},
        title = {Dynamic Games with Asymmetric Information: Common
                  Information Based Perfect Bayesian Equilibria and
                  Sequential Decomposition},
        journal = {IEEE Transactions on Automatic Control},
        year = {2016},
        abstract = {We formulate and analyze a general class of
                  stochastic dynamic games with asymmetric
                  information arising in dynamic systems. In such
                  games, multiple strategic agents control the
                  system dynamics and have different information
                  about the system over time. Because of the
                  presence of asymmetric information, each agent
                  needs to form beliefs about other agentsâ
                  private information. Therefore, the specification
                  of the agentsâ beliefs along with their
                  strategies is necessary to study the dynamic game.
                  We use Perfect Bayesian equilibrium (PBE) as our
                  solution concept. A PBE consists of a pair of
                  strategy profile and belief system. In a PBE,
                  every agentâs strategy should be a best response
                  under the belief system, and the belief system
                  depends on agentsâ strategy profile when there
                  is signaling among agents. Therefore, the circular
                  dependence between strategy profile and belief
                  system makes it difficult to compute PBE. Using
                  the common information among agents, we introduce
                  a subclass of PBE called common information based
                  perfect Bayesian equilibria (CIB-PBE), and provide
                  a sequential decomposition of the dynamic game.
                  Such decomposition leads to a backward induction
                  algorithm to compute CIB-PBE. We illustrate the
                  sequential decomposition with an example of a
                  multiple access broadcast game. We prove the
                  existence of CIBPBE for a subclass of dynamic
                  games.},
        URL = {http://cps-forces.org/pubs/155.html}
    }
    

Posted by Hamidreza Tavafoghi on 23 May 2016.
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