Faster Regret Matching

01/14/2020

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by   Dawen Wu, et al.

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The regret matching algorithm proposed by Sergiu Hart is one of the most powerful iterative methods in finding correlated equilibrium. However, it is possibly not efficient enough, especially in large scale problems. We first rewrite the algorithm in a computationally practical way based on the idea of the regret matrix. Moreover, the rewriting makes the original algorithm more easy to understand. Then by some modification to the original algorithm, we introduce a novel variant, namely faster regret matching. The experiment result shows that the novel algorithm has a speed advantage comparing to the original one.