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ATAL
2009
Springer

Generalization risk minimization in empirical game models

11 years 8 months ago
Generalization risk minimization in empirical game models
Experimental analysis of agent strategies in multiagent systems presents a tradeoff between granularity and statistical confidence. Collecting a large amount of data about each strategy profile improves confidence, but restricts the range of strategies and profiles that can be explored. We propose a flexible approach, where multiple game-theoretic formulations can be constructed to model the same underlying scenario (observation dataset). The prospect of incorrectly selecting an empirical model is termed generalization risk, and the generalization risk framework we describe provides a general criterion for empirical modeling choices, such as adoption of factored strategies or other structured representations of a game model. We propose a principled method of managing generalization risk to derive the optimal game-theoretic model for the observed data in a restricted class of models. Application to a large dataset generated from a trading agent scenario validates the method. Gener...
Patrick R. Jordan, Michael P. Wellman
Added 26 May 2010
Updated 26 May 2010
Type Conference
Year 2009
Where ATAL
Authors Patrick R. Jordan, Michael P. Wellman
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