Efficient Computing of Correlated Equilibria in Multi-Player Games

This paper deals with modelling and simulation of intelligent agents doing strategic decision making which we describe by terms of mathematical game theory. We have developed a package of computer models representing Central-European electricity markets having integrated intelligent behavior of electricity producers, traders and consumers. This work required a very detailed research in algorithmics and optimization of our game theoretic models because of their large time complexity. We adopted Aumann's correlated equilibrium as a basic concept of game equilibria. In this paper, we describe a very efficient general computerized algorithm of solving the multi-player game situations through the correlated equilibrium. Core of the presented method is based on iterative elimination of dominated strategies.