Sequential Decision Problems

To this point in the class, we have studies stateless games when the payoff matrix is known. We have explored these games as both stage (single shot) games and as repeated games. In this portion of the class, we will continue to study repeated games, but we will assume as little about the problems as possible and we will look at a class of algorithms that allow us to represent states. To be precise, we will assume that we don’t know the game matrix, we don’t know anything about the strategy of the other agent, and we don’t know what strategy we should apply to do well in the repeated game. Within this constraints, we will explore a class of reinforcement learning algorithms that attempt to learn various parameters of the repeated game. The purpose of this tutorial is to introduce you to the necessary concepts to understand reinforcement learning algorithms.