%Paper: ewp-game/9512001
%From: Ed Hopkins <ehk@festival.ed.ac.uk>
%Date: Tue, 5 Dec 1995 18:17:30 +0000 (GMT)

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\newtheorem{lemma}{Lemma}
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\begin{document}

\title{Learning, Matching and Aggregation }
\author{Ed Hopkins\thanks{%
I would like to thank all the people at GREQAM, Marseille, for their
hospitality while writing this paper. Alan Kirman, Tilman B\"orgers, Larry
Samuelson and Dan Friedman have given many helpful comments. I would like to
thank Josef Hofbauer for pointing out the errors in an earlier version of
Proposition \protect\ref{pro:NE}. }  \\ %EndAName
Department of Economics\\University of Edinburgh\\ EH8 9JY, UK\\% 
hopkinse@wrb1.bae.ed.ac.uk}
\date{May, 1995; Revised November, 1995}
\maketitle

\begin{abstract}
Fictitious play and ``gradient'' learning are examined in the context of a
large population where agents are repeatedly randomly matched. We show that
the aggregation of this learning behaviour can be qualitatively different
from learning at the level of the individual. This aggregate dynamic belongs
to the same class of simply defined dynamic as do several formulations of
evolutionary dynamics. We obtain sufficient conditions for convergence and
divergence which are valid for the whole class of dynamics. These results
are therefore robust to most specifications of adaptive behaviour.
\end{abstract}

\begin{center}
{\em Journal of Economic Literature} classification numbers: C72, D83.%
\bigskip

Keywords: Games, Fictitious Play, Learning, Evolution.
\end{center}

\thispagestyle{empty}

\newpage
\setcounter{page}{1}

\section{Introduction}

There has been an increasing interest in using evolutionary models to
explain social phenomena, in particular, the evolution of conventions.
However, evolutionary models have not achieved universal acceptance. There
has been some skepticism as to the degree to which evolutionary dynamics are
relevant to economic situations. In an evolutionary system, nature chooses
the individuals who embody superior strategies. In human society,
individuals learn: they choose strategies that seem superior. There is no
certainty that the dynamics generated by the two different processes are
identical. But if one insists on basing social evolution on decisions taken
by individual agents this presents its own problems. What does individual
learning behaviour look like when aggregated across a population? Little
research has been done on this issue and the results that do exist, as we
shall see below, are not encouraging. \bigskip

There are a number of potential responses. One adopted by Binmore and
Samuelson (1994) is to devise a learning scheme which approximates the
dynamics generated by evolution. Thus the results of evolutionary game
theory could be recreated by learning. Another is to generalise the
evolutionary dynamics by abandoning particular functional forms and looking
at wide classes of dynamics which satisfy ``monotonicity'' or ``order
compatibility'' (Nachbar, 1990; Friedman, 1991; Kandori et al., 1993). The
hope is that even if learning behaviour is not identical to evolution, it is
sufficiently similar to fall within these wider categories. However, in this
paper, a different approach is taken. Rather than designing learning models
to suit our purposes, we examine two existing models of learning behaviour
current in the literature. This is done in the context of a large
random-mixing population.\bigskip 

The question of aggregation of learning behaviour is of interest in its own
right. As can be seen in for example, Crawford (1989) or Canning (1992),
learning behaviour aggregated across a large population can be qualitatively
different from behaviour at the level of the individual. Indeed, we show
that aggregation can solve many of the problems encountered in existing
learning models. Secondly, the resultant dynamics are not in general
identical to evolutionary dynamics on a similarly defined population. They
may not even satisfy monotonicity. However, they all belong to a class of
dynamics which for reasons that will become apparent we will call ``positive
definite'', and share much of their qualitative behaviour.\bigskip

Fictitious play, our first learning model, was in fact introduced as a means
of calculating Nash equilibrium, or in the terminology of the time in order
to ``solve'' games (Brown, 1951; Robinson, 1951). Play was ``fictitious'' in
that it was assumed to be a purely mental process by which agents would
decide on a strategy. The fictitious play algorithm selects a pure strategy
that is a best reply to the average past play of opponents. One can
interpret this as though each player uses past play as a prediction of
opponents' current actions. This is, of course, in the spirit of the
adjustment process first suggested by Cournot in the 19th century. While it
might not be clear {\em a priori }where such a naive form of behaviour might
lead, in fact, it has been shown, for example, that the empirical
frequencies of strategies played approaches a Nash equilibrium profile in
zero-sum games (Robinson, 1951) and in all $2\times 2$ games (Miyasawa,
1961).\bigskip

More recently, fictitious play has again attracted interest, this time as a
means of modelling learning\footnote{%
Some of the many to have considered fictitious play or similar processes are
Canning (1992), Fudenberg and Kreps (1993), Jordan (1993), Milgrom and
Roberts (1991), Monderer and Shapley (1993), Young (1993).}. This, however,
is an interpretation that is problematic. The positive results noted above
are qualified by the realisation that convergence of fictitious play is not
necessarily consistent with the idea of players ``learning'' an equilibrium.
Convergence to a pure strategy equilibrium is relatively straightforward:
after a certain time, each player will keep to a single pure strategy.
However, as Young (1993), Fudenberg and Kreps (1993), Jordan (1993) all
note, convergence in empirical frequencies to a mixed Nash equilibrium may
only entail that play passes through a deterministic cycle (of increasing
length) through the strategies in its support. In one sense, players'
``beliefs'' converge, even if their actions do not, in that in the limit
they will be indifferent between the different strategies in the support of
the Nash equilibrium. However, if players' beliefs are predictions of their
opponents' play, while correct on average, they are consistently incorrect
for individual rounds of play. Implicit in fictitious play is also a strong
degree of myopia. In choosing strategies, players take no account of the
fact that opponents are also learning. Similarly, if as noted above, play
converges to a cycle, players do not respond to the correlated nature of
play. Finally, apart from the case of zero-sum games, there is no easy
method of determining whether fictitious play converges.\bigskip

There are other models of learning in games. We can identify a class of
learning rules as being based on gradient-algorithms. The behaviour
postulated is perhaps even more naive than under fictitious play\footnote{%
There are other models not considered here such as the more sophisticated
Bayesian learning of Kalai and Lehrer (1993).}, indeed, these models were
first developed by psychologists and animal-behaviourists for non-strategic
settings. More recently they have been applied to game-theory by Harley
(1982), Crawford (1985; 1989), B\"orgers and Sarin (1993), Roth and Erev
(1995). Unlike fictitious play-like processes agents do not play a single
pure strategy which is a best-reply, agents play a mixed strategy. If a
strategy is successful the probability assigned to it is increased, or in
the terminology of psychologists, the ``behaviour is reinforced''. Thus such
models are sometimes called ``learning by reinforcement'' or ``stimulus
learning''. As these models' other name ``gradient'' suggests, behaviour is
meant to climb toward higher payoffs. Adjustment is therefore slower and
smoother than under fictitious play. However, the results obtained are not
notably more positive. Crawford (1985) showing for example that all mixed
strategy equilibria are unstable.\bigskip

Aggregation can help with these problems. Fudenberg and Kreps (1993) in fact
propose the idea of a random-mixing population of players as a justification
for the myopia of fictitious play-like learning processes. If there is
sufficient anonymity such that each player cannot identify his opponent and
sufficient mixing, each player has a sequence of different opponents, then
players may have little incentive to develop more sophisticated strategies.
A population of players also offers a different interpretation of
mixed-strategy equilibrium. The distribution of strategies in the population
as a whole mimics a mixed-strategy profile. This is an equilibrium concept
familiar from evolutionary game theory. This type of mixed equilibrium can
be stable under either fictitious play or gradient learning.\bigskip

The main contribution of this paper is to demonstrate that is possible to
obtain precise results on the aggregation of learning behaviour and that,
furthermore, the aggregate dynamics thereby obtained are qualitatively
very similar to evolutionary dynamics. In fact, we show that the replicator
dynamics, in both pure and mixed strategy forms, the aggregate dynamics
generated by fictitious play, and also the aggregate dynamics generated by
gradient learning, all belong to a simply-defined class of dynamics. We then
show that for all of this class that regular Evolutionary Stable Strategies
(ESSs) are asymptotically stable.  Thus we show
that refinements to Nash equilibrium based on evolutionary considerations
are relevant also for learning models. Secondly, unlike existing models of
learning in large populations, such as Canning (1992) and Fudenberg and
Levine (1993), explicit results on the stability of particular equilibria
are obtained. Perhaps most importantly we obtain results which are robust to
different specifications of learning rules or evolutionary dynamics. Hence
we can hope that these results have some predictive power.

\section{Learning and Evolutionary Dynamics}

We will examine learning in the context of two-player normal-form games, $%
G=(\{1,2\},I,J,A,B)$. $I$ is a set of $n$ strategies available to player 1, $%
J$ a set of $m$ strategies for player 2. Payoffs are determined by $A$, a $%
n\times m$ matrix of payoffs, and $B$, which is $m\times n.$ $A$ has typical
element $a_{ij}$, which is the payoff an agent receives when playing
strategy $i$ against an opponent playing strategy $j$. However, we will
largely be dealing with games that are ``symmetric'' in the evolutionary
sense, that is, games for which $A=B$.\footnote{%
And all players are drawn from the same population. For a fuller discussion
of the difference between symmetric and asymmetric contests see van Damme
(1991) or Hofbauer and Sigmund (1988).} Generalisations to the asymmetric
case are briefly discussed in Section 7. We will often be dealing with a
population of players, each playing a single pure strategy. In this case,
the distribution of strategies within the population will be described by a
vector ${\bf x}\in S_n=\{{\bf x}=(x_1,...,x_n)\in {\bf R}^n:\Sigma
x_i=1,x_i\geq 0$ for $i=1,...,n\}$. As, in this paper, vectors will be
treated ambiguously as either rows or columns, to avoid any further
confusion, the inner product will be carefully distinguished by the symbol ``%
$\cdot $'', that is, the result of ${\bf x}\cdot {\bf x}$ is a scalar. 
\bigskip

We follow Shapley (1964) and implement the fictitious play algorithm in the
following way. A player places a weight on each of her strategies (we can
think of these as beliefs as to the relative effectiveness of the different
strategies) which we can represent as a vector ${\bf w}=(w_1,w_2,...,w_n)$
and at any given time plays the strategy which is given the highest weight.
Each player updates these weights after each round of play so that if her
opponent played strategy $j$, 
\begin{equation}
\label{up}w_i(t+1)=w_i(t)+a_{ij}\mbox{ for}\ i=1,....,n. 
\end{equation}
Players can also be modelled as maintaining a vector of relative frequencies
of opponents' past play (as in Fudenberg and Kreps, 1993; Young, 1993). They
then choose strategies that maximise expected payoffs as though this vector
represented the current (mixed) strategy of their opponents. The two methods
are entirely equivalent. Note that the weights here are (less initial
values) simply the relative frequencies multiplied by payoffs.\bigskip

Up to now we have contrasted learning and evolution purely on the basis of
their origins, one being a social, the other a natural process. However,
they are also often modelled in contrasting fashion. Fictitious play and
Cournotian dynamics both assume that agents play some kind of best response.
This can involve discontinuous jumps in play. Taking as an example the
following game which is variously known as ``chicken'', ``hawk-dove'' or
``battle of the sexes'', 
\begin{equation}
\label{g}A=B=%
\begin{tabular}{|c|c|}\hline
0 & \hspace{.125in}$ a $\hspace*{.125in}  \\ \hline
$1-a$ &  0 \\ \hline
\end{tabular}
\quad \quad 1>a>0\ , 
\end{equation}
Figure 1a gives the simple best-reply function for (\ref{g}),where each
agent in a large population plays a best-reply to the current distribution
of strategies\footnote{%
This is a dynamic as used by, for example Kandori, Mailath and Rob (1994).
This is fictitious play with a one-period memory.}. Here $x$ represents the
proportion of the population playing the first strategy. If $x$ is greater
than (respectively less than) $a$, then the whole population switches to
strategy 2 (strategy 1). Hence, there is a discontinuity at the point ($x=a$%
) where the players are indifferent between their two strategies (there is
no particular consensus in the literature about how players should behave
when indifferent between two or more strategies).\bigskip
\begin{figure}
\unitlength=.7pt
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\put(420.00,560.00){\line(1,0){240.00}}
\put(420.00,560.00){\line(1,1){230.00}}
\put(140,560){\line(1,0){90}}
\put(40.00,770.00){\line(1,0){100.00}}
\put(420.00,559.00){\circle{10}}
\put(546.00,686.00){\circle{10}}
\put(626.00,764.00){\circle{10}}
\put(278.00,550.00){\makebox(0,0)[cc]{$x_t$}}
\put(10.00,800.00){\makebox(0,0)[cc]{$x_{t+1}$}}
\put(700.00,550.00){\makebox(0,0)[cc]{$x_{t}$}}
\put(390.00,800.00){\makebox(0,0)[cc]{$x_{t+1}$}}
\put(10.00,770.00){\makebox(0,0)[cc]{1}}
\put(628.00,540.00){\makebox(0,0)[cc]{1}}
\put(400.00,770.00){\makebox(0,0)[cc]{1}}
\put(140,540){$a$}
\put(100.00,525.00){(a)}
\put(500.00,525.00){(b)}
\bezier208(420.00,560.00)(437.00,654.00)(546.00,686.00)
\bezier150(546.00,686.00)(627.00,699.00)(627.00,767.00)
\end{picture}
\caption{Dynamics: (a) best response (b) replicator dynamics}
\end{figure}
In contrast, the evolutionary {\em replicator dynamics}, whether in
continuous or discrete time, are derived on the basis that the proportional
rate of growth of each strategy is equal to the difference between its
payoff $(A{\bf x)}_i$ (the $i$th element of the vector in parentheses) and
the average payoff in the population\footnote{%
In a biological context, this arives from relative reproductive success (see
Hofbauer and Sigmund, 1988) but may also be an appropriate assumption in
modelling learning in a human population (for example, Binmore and
Samuelson, 1994).} ${\bf x}\cdot A{\bf x}$. $D$ is a positive constant. 
\begin{equation}
\label{rep}\dot x_i\ =x_i[(A{\bf x})_i-{\bf x}\cdot A{\bf x}]\mbox{ or }%
x_i(t+1)=x_i(t)\frac{(A{\bf x)}_i+D}{{\bf x}\cdot A{\bf x}+D} 
\end{equation}
Clearly, both dynamics are continuous, the system moving smoothly toward the
strategies earning the highest payoff. The replicator dynamic (in discrete
time) for the game (\ref{g}) is drawn in Figure 1b. The interior mixed
equilibrium is a global attractor, the pure equilibria at $x=0,1$ being
unstable. \bigskip\ 

Important in evolutionary theory is the idea of an Evolutionary Stable
Strategy, that is, ``a strategy such that, if all members of a population
adopt it, then no mutant strategy could invade the population under the
influence of natural selection.'' (Maynard Smith, 1982, p10). For a large
random matching population the conditions are\bigskip

{\bf Definition}: An {\em Evolutionary Stable Strategy} (ESS) is a strategy
profile ${\bf q}$ that satisfies the Nash equilibrium condition 
\begin{equation}
\label{ne}{\bf q}\cdot A{\bf q}\geq {\bf x}\cdot A{\bf q} 
\end{equation}
for all ${\bf x}\in S_n$ and for all ${\bf x}$ such that equality holds in (%
\ref{ne}), ${\bf q}$ must also satisfy the stability condition 
\begin{equation}
\label{sta}{\bf q}\cdot A{\bf x}>{\bf x}\cdot A{\bf x} 
\end{equation}

The first condition states that to be an ESS, a strategy must be a
best-reply to itself. Were it not so, a population playing that strategy
could easily be invaded by agents playing the best reply. The second
condition demands that if there are a number of alternative best replies,
than the ESS must be better against them than they are against themselves.
Thus if a mutant strategy which was an alternative best reply were to enter
the population, those agents playing it would on average have a lower payoff
than those playing the ESS and therefore would not grow in number.\bigskip

There is a strong connection between stability under evolutionary dynamics
and the static concept of ESS.

\begin{proposition}
Every ESS is an asymptotically stable equilibrium for the continuous time
replicator dynamics but the converse is not true. That is, there are
asymptotically stable states for the replicator dynamics which are not ESSs.
\end{proposition}

{\bf Proof:} See, for example, van Damme (1991, Theorem 9.4.8).\hfill $\Box $%
\bigskip

Fictitious play can also converge on the mixed equilibrium of (\ref{g}), but
in a rather different manner. Setting $a=0.5$, imagine two players both with
initial weights of $(0.25,0)$. That is, they both prefer their first
strategy for the first round of play. Both consequently receive a payoff of
0. Each players observe which strategy the opponent chose. They then update
the weights/beliefs according to the payoffs that they would receive against
that strategy. Thus according to (\ref{up}), weights now stand at $%
(0.25,0.5) $. They now both prefer the second strategy. One can infer that
player 1 believes that her opponent will continue to play her first
strategy, and likewise for player 2. After the second round of play, in
which again both players receive 0, the vectors stand at $(0.75,0.5)$. It
can be shown that, firstly, that the players continually miscoordinate,
always receiving a payoff of 0, and that, secondly, in the limit, both play
their first strategy with relative frequency $0.5$, and their second with
frequency $0.5$. This corresponds to the mixed strategy equilibrium of (\ref
{g}). However, the players' behaviour seems to correspond only tangentially
with the idea of a mixed-strategy equilibrium.\bigskip 

The concept of a mixed strategy equilibrium in use in evolutionary game
theory seems more intuitive. It is also an average but not across time but
across the differing behaviour of a large population: the aggregate strategy
distribution is a mixed strategy equilibrium. One might hope that if each
individual used a learning rule that like the replicator dynamics was a
continuous function of payoffs, similarly well-behaved results could be
obtained. However, Crawford (1985; 1989) demonstrates that in fact mixed
strategy equilibria, and hence many ESSs, are not stable for a model of this
kind. However, while these results are correct, they do not tell the whole
story in the context of a random-mixing population. The mixed strategy of
individuals will not approach the equilibrium of the two player game,
nonetheless, we are able to prove convergence for the mean strategy in the
population for all regular ESSs.\bigskip

What we are going to show is that with a large population of players who are
continually randomly matched, this type of outcome is possible even under
fictitious play. This does not follow automatically from aggregation. In
particular, if all players in the population have the same initial beliefs,
the time path for the evolution of strategies will be the same as for
fictitious play with two players\footnote{%
A fact which Fudenberg and Kreps (1993) exploit. They do not consider the
case where, within a population of players, individuals possess differing
beliefs.}. Imagine in the above example, there were an entire population of
players with initial weights of $(0.25,0)$. No matter with whom they are
matched they will meet an opponent playing, strategy 1. Hence, all players
will update their beliefs at the same rate, and the same cycle is
reproduced. However, this is only possible given the concentration of the
population on a single point. If instead there is a non-degenerate
distribution of weights across the population, it may be that not all the
population will change strategy at once. \bigskip

Imagine now that the players have initial weights or beliefs $(b,0)$ where $%
b $ is uniformly distributed on $[0,1]$. Only those in the population with $%
b\leq 0.5$, that is half the population, will change strategy after the
first round of play. In fact, we have arrived immediately at the population
state equivalent to the mixed strategy equilibrium with half the population
playing each strategy. It is easy to check that under random matching, in
such a state, there is no expected change in each player's strategy. In this
case, aggregation has had a smoothing effect because there was sufficient
heterogeneity in the population. We will go on to make a somewhat more
precise statement about convergence of fictitious play in a random matching
environment. A necessary first step is to consider the modelling of random
matching itself in more detail.

\section{Matching Schemes}

Any study of the recent literature on learning and evolution will reveal,
firstly, that random matching within a large population of players is a
common assumption, and secondly, that there are several ways of modelling
such interaction. This diversity is in fact important both in terms of what
it implies for theoretical results and in what cases are such results
applicable. For example, there are some economic or social situations where
random matching might seem a reasonable approximation of actual interaction,
others where it will not. Only in some cases will agents be able to obtain
information about the result of matches in which they were not involved, and
so on. \bigskip

Fudenberg and Kreps (1993) suggest three alternative schemes. Assuming a
large population of potential players (they suggest 5000 as a reasonable
number), they propose the following:

\begin{quote}
``Story 1. At each date $t$, one group of players is selected to play the
game...They do so and their actions are revealed to all the potential
players. Those who play at date $t$ are then returned to the pool of
potential players.

Story 2. At each date $t$ there is a random matching of all the players, so
that each player is assigned to a group with whom the game is played. At the
end of the period, it is reported to all how the entire population
played....The play of any particular player is never revealed.

Story 3. At each date $t$ there is a random matching of the players, and
each group plays the game. Each player recalls at date $t$ what happened in
the previous encounters in which he was involved, without knowing anything
about the identity or experiences of his current rivals.'' {%
\begin{flushright}Fudenberg and Kreps (1993, p333)\end{flushright}}
\end{quote}

It is worth drawing out the implications of these different matching
schemes. Story 3 is the ``classic''
scheme assumed as a basis for the replicator dynamics. The population is
assumed to be infinite and hence, despite random matching, the dynamics are
deterministic (this has been rigorously analysed by Boylan, 1992). It is
also decentralised and does not require, as do Stories 1 and 2, any public
announcements of results by some auctioneer-like figure. However, there are
other procedures similar to Story 2 which do not require such a mechanism.
These include,

\begin{quote}
Story 2a. In {\em each} round\footnote{%
The ``round'' is the time-unit of, in evolutionary models, reproduction, in
learning models, decision. That is, strategy frequencies are constant within
a round, even if the round contains many matches.}, the players are matched
according to Story 1 or Story 3 an infinite number of times.

Story 2b. In {\em each} round there is a ``round-robin'' tournament, where
each player meets each of his potential opponents exactly once.
\end{quote}

Stories 2a and 2b have been used in the learning literature principally for
reasons of tractability\footnote{%
See for example, Kandori et al. (1993), Binmore and Samuelson (1994).}. They
ensure a deterministic result to the matching procedure even when population
size is finite. The infinite number of matchings in Story 2a, by the law of
large numbers, ensures that a proportion equal to the actual frequency over
the whole population of opponents playing each strategy will be drawn to
play. What Stories 2, 2a and 2b have in common is that all players know the
exact distribution of strategies in the population when choosing their next
strategy. There is little room for the diversity of beliefs one might expect
in a large population. \bigskip

In contrast, under Story 3, as the overall distribution of strategies is not
known, it makes more sense to use past matches to estimate the current
distribution. Furthermore, depending upon with which opponent they are
matched, different players will receive different impressions about the
frequency of strategies in the population of opponents. Under Story 3, if
the population is finite, even if players use a deterministic rule to choose
their strategy, such as the fictitious play algorithm, the evolution of the
aggregate strategy distribution is stochastic. In this paper, however, we
concentrate on the case of an infinite population, where both Story 2 and 
Story 3 produce deterministic results. 

\section{Population Fictitious Play}

The next stage is to examine population fictitious play (PFP) where learning
takes place in a large random-mixing population. We will deal both with the
case where the population is large but finite, and with the case where the
population is taken to be a continuum of non-atomic agents (an assumption
familiar from evolutionary game theory). While the beliefs of a given
individual can be represented by point, the beliefs of the population will
be represented by a distribution over the same space. We investigate how the
distribution of beliefs, and therefore how the distribution of strategies,
changes over time. It will help to create some new variables. Let $%
p_{ij}=w_j-w_i,\ j\neq i$. Thus, ${\bf p}_i$ is a vector of length $n-1$. We
will use this to work in ${\bf R}^{n-1}$ instead of ${\bf R}^n$. For
example, if a player has to choose between two strategies, we can summarise
her beliefs by the variable $p_{12}$. If \ $p_{12}<0$ she prefers her first
strategy, if $p_{12}>0$ her second, and if $p_{12}=0$ she is indifferent. A
player's decision rule or reaction function can then be considered as a
mapping from the space of beliefs to strategies, i.e. $\ {\bf R}%
^{n-1}\rightarrow S_n$, that is, the $n$-simplex. This mapping will not, in
general be continuous for individual players: the fictitious play assumption
limits players to pure strategies. See also Figure 1a. \bigskip

Let $F_i$ be the population distribution function of ${\bf p}_i$ over ${\bf R%
}^{n-1}.$ Agents will play a strategy if it is the strategy given the
highest weight in their beliefs. In other words, the beliefs of those
playing strategy $i$ must be in $E_i=\{{\bf p}_i\in \ {\bf R}%
^{n-1}:p_{ij}\leq 0,\forall \ j\neq i\}$. What if agents are indifferent
between two or more strategies, that is, if their beliefs, for some $j$ are
such that $p_{ij}=0\ $? One way to finesse this problem would be to assume
that initial beliefs are given by irrational numbers and payoffs by rational
ones or vice versa. Another method is to assume that beliefs are given by a
continuous distribution on ${\bf R}^{n-1}$. In any of these cases then, if
the proportions of the population playing each of the $n$ strategies is
given by the vector ${\bf x}\in S_n$, $x_i=F_i({\bf 0})$, where {\bf 0} is a
vector of zeros of length $n-1$. For example, if all agents have the beliefs 
$p_{ij}<0\ \forall \ j$ then $x_i=F_i({\bf 0})=1$. \bigskip

At the basis of the deterministic model of PFP is the assumption that agents
update their beliefs as if they knew ${\bf x}\in S_n$, the true current
distribution of strategies in the population. This could be supported by
Story 3 in an infinite population or by Story 2 in a finite or infinite
population. We are, however, going to treat each $x_i$ as a continuous
variable and assume that the probability of meeting an opponent playing
strategy $i$ is $x_i$.\footnote{%
These are both approximations if the population is finite. We treat finite
populations with greater accuracy in Section 7.} For example, over a period
of length $\Delta t$, each agent is matched within a single large
population. If this matching is repeated an arbitrarily large number of
times in each period (Story 2a), each agent will meet a proportion $x_i$ of
opponents playing strategy $i$. We assume that in a period of length $\Delta
t$, players adjust their beliefs by $\Delta t$ as much as they would in a
period of length 1. According to (\ref{up}), which describes the fictitious
play algorithm, we have for each agent 
\begin{equation}
\label{wv}{\bf w}(t+\Delta t)={\bf w}(t)+\ \Delta t\ A{\bf x.} 
\end{equation}
Similarly we can derive a system of difference equations for ${\bf p},$ the
vector of the agent's beliefs, 
\begin{equation}
\label{wt}{\bf p}_i(t+\Delta t)=\Gamma ({\bf p}_i,{\bf x})={\bf p}%
_i(t)+\Delta t\ [(A{\bf x)}_{j\neq i}-\ (A{\bf x})_i], 
\end{equation}
where $(A{\bf x)}_{j\neq i}$ is a vector of length $n-1$, constructed of all
the elements of $A{\bf x}$ except $(A{\bf x)}_i$. We will be interested in
the properties of the inverse of the function $\Gamma $ with respect to $%
{\bf p}_i$ to be written $\Gamma ^{-1}({\bf p}_i)$. Given that $\Gamma (.)$
is a simple linear function the existence of $\Gamma ^{-1}$ is therefore
guaranteed. In fact, we have

\begin{equation}
\label{gam1}\Gamma ^{-1}({\bf p}_i)={\bf p}_i(t)+\ \Delta t\ [(A{\bf x})_i-(A%
{\bf x)}_{j\neq i}] 
\end{equation}
\begin{figure}
\unitlength=1.25pt
 
\begin{picture}(240.00,230.00)(-50.00,425.00)


\put(60.00,640.00){\line(0,-1){200.00}}
\put(60.00,440.00){\line(1,0){200.00}}
\put(220.00,440.00){\line(0,1){137.50}}
\put(187.50,440.00){\line(0,1){121}}
\put(220.00,578.00){\line(-1,0){160.00}}
\put(10,585){{\small $f_{t+1}(0)=$}}
\put(10,571){{\small $f_t(\Gamma^{-1}(0))$}}
\put(40,495){{\small $f_t$}}
\put(40,515){{\small $f_{t+1}$}}
\put(186,430.00){$0$}
\put(212.50,430.00){$\Gamma^{-1}(0)$}
\put(51.00,438){$0$}
\put(0,630.00){{\large $f(p)$}}
\put(250.00,417.50){{\large $p$}}
\put(60,515){\line(2,1){175}}
\put(60,498){\line(2,1){175}}
 
\end{picture}
\caption{Change in the distribution of beliefs}
\end{figure}

To illustrate the properties of the deterministic model with a simple
example, we consider $2\times 2$ symmetric games, that is, games where every
player must choose between the same two strategies. Let $F_t(p)$ be the
cumulative distribution of $p=p_{12}=-p_{21}$ on {\bf R}. This distribution
of beliefs determines the distribution of strategies. As the $t$ subscript
indicates, this distribution will change endogenously over time, as the
beliefs of each agent are updated according to (\ref{wt}). This is shown in
Figure 2, (in the figure, a density function $f=dF/dp$ is assumed; its
existence is not necessary to the analysis of this section). In particular, 
\begin{equation}
\label{fd}
\begin{array}{c}
\Gamma ^{-1}(p)>p:F_{t+\Delta t}(p)=F_t(p)+\int_p^{\Gamma
^{-1}(p)}dF=F_t(\Gamma ^{-1}(p)) \\ 
\Gamma ^{-1}(p)<p:F_{t+\Delta t}(p)=F_t(p)-\int_{\Gamma
^{-1}(p)}^pdF=F_t(\Gamma ^{-1}(p)) 
\end{array}
\end{equation}
Any agents possessing beliefs equal to $\Gamma ^{-1}(0)$ will update their
beliefs to $p_0$. If $\Gamma ^{-1}(0)>0$, as is the case in Figure 2, $F(0)$
will increase by the proportion of agents who possessed beliefs on the
interval $[0,\Gamma ^{-1}(0)]$. The linear nature of (\ref{wt}) implies that
the whole distribution simply shifts to the left or to the right. This in
turn will have an effect on the distribution of strategies. For example, an
agent whose beliefs change from $p=1$ to $p=-1$ will change from her second
to her first strategy. By definition, if $F$ is continuous at $p=0$, that
is, there is no mass of agents indifferent between strategies, $x_1=F(0)$
and hence 
\begin{equation}
\label{dis}x_1(t+\Delta t)=F_t(\Gamma ^{-1}(0))=F_t(\Delta t[(A{\bf x})_1-(A%
{\bf x})_2]). 
\end{equation}
That is, in Figure 2, $x_1$ increases by an amount equal to the shaded area.
It is not difficult to extend this analysis to games of $n$ strategies. In a
time interval of length $\Delta t$, the change in $x_i$ is given by 
\begin{equation}
\label{int}x_i(t+\Delta t)\ =F_t(\Gamma ^{-1}({\bf 0}))\ =F_{it}(\Delta t[(A%
{\bf x)}_i-(A{\bf x)}_{j\neq i}])\ , 
\end{equation}
where $F_i$ is the joint cumulative distribution function of ${\bf p}_i$ on $%
{\bf R}^{n-1}$. Clearly, if a strategy $i$ currently has a higher expected
payoff than any other strategy, then the proportion of the population
playing that strategy $x_i$ is increasing. We can state that more formally
as:

\begin{lemma}
\label{l:1} If $(A{\bf x)}_i>\ (A{\bf x})_j\ \forall \ j\neq i$ then $p_{ij}$
is strictly decreasing at a rate bounded away from zero $\forall \ j\neq i$
and $x_i$ is increasing. If $(A{\bf x)}_i=\ (A{\bf x})_j\ \forall \ j\ $then 
$p_{ij}\forall \ j\neq i$, and $x_i\ \forall \ i$, are constant.
\end{lemma}

While the state variable of the PFP process is the distribution of agents'
beliefs, our main focus of interest is the distribution of strategies. We
therefore define a fixed point for the PFP process as a population strategy
profile which is unchanging under the dynamic specified by (\ref{wt}), even
though beliefs may continue to change. We find a one-to-one correspondence
between fixed points and strategy distributions that are Nash equilibria of
the game. Mixed strategies are supported by the appropriate distribution of
pure strategies across the population. For the proof of the following
proposition, we assume that if an agent is indifferent between two or more
strategies, the choice of which of these strategies to play can be made
according to any method. However, once that choice is made, no further
change in strategy will be made as long as the agent remains indifferent.

\begin{proposition}
A strategy profile {\bf q} in the simplex $S_n$ is a fixed point for the
deterministic PFP dynamic if and only if it is a Nash equilibrium.
\end{proposition}

{\bf Proof:} We can start by observing that if {\bf q} is a Nash equilibrium
then from (\ref{ne}) above, if $I_0\subseteq I$ is the set of strategies in
the support of {\bf q}, then 
\begin{equation}
\label{nei}\forall \ i,j\in I_0\ (A{\bf q})_i=(A{\bf q})_j\geq (A{\bf q})_k\
\forall \ k\notin I_0 
\end{equation}
(a) {\bf If}. If an agent plays $i$, she must prefer it. That is, $w_i\geq
w_j$ $\forall \ j$. From Lemma 1 and (\ref{nei}), no agent will change
preference either between the strategies in the support of {\bf q} or toward
any other strategy.

(b) {\bf Only if. }Let ${\bf q}$ now denote a rest point which is not a Nash
equilibrium. Let $I_0\subseteq I$ be the set of strategies in its support.
If ${\bf q}$ is not a Nash equilibrium then there must be a set of
strategies $I_k$ such that $\exists \ i\in I_0\ $$(A{\bf q})_i<(A{\bf q})_k\
\forall \ k\in I_k$. From (\ref{wt}), for each agent playing strategy $i$, $%
w_i-w_k$ must be decreasing at a constant rate as long as the system is at $%
{\bf q}$. Within finite time, a positive measure of agents playing $i$ must
switch to a strategy in $I_k$. Hence the system is no longer at {\bf q}. 
\hfill 
$\Box $\bigskip

The following propositions are also immediate consequents.

\begin{proposition}
All pure strict Nash equilibria are asymptotically stable.
\end{proposition}

{\bf Proof:} A pure strict Nash equilibrium is a state ${\bf q}\in S_n$ with
one strategy $i$ in its support such that there exists an open ball $B$ with
centre {\bf q} such that in $B\cap S_n$, (A{\bf x})$_i>$(A{\bf x})$_j\
\forall \ j\neq i$. Clearly, if the system enters $B$ by the previous Lemma
it cannot leave. While in $B$, for all agents, each $p_{ij}\ \forall \ j\neq
i$ is decreasing at a non-vanishing rate. In finite time, all agents play $i$%
.\hfill 
$\Box $

\begin{proposition}
All strictly dominated strategies have zero population share in finite time.
\end{proposition}

{\bf Proof: }This follows immediately from Lemma \ref{l:1}.\hfill 
$\Box $\bigskip

These results are hardly surprising given that we have a population of
agents that play only best replies, but they are sufficient to show
convergence for many games. However, because mixed strategy equilibria are
never strict, to deal with them we will need to change our approach.

\section{Positive Definite Dynamics}

We will now modify our existing model in two important ways. First, we will
move from discrete to continuous time. This is not a neutral step. Our
defence is that a discrete time model implies that all players are matched,
and hence update their behaviour, simultaneously, a degree of coordination
unlikely in a large population. Second, it is necessary to impose additional
assumptions to ensure that the distribution of beliefs is continuous. For
example, if there were mass points, discontinuous jumps in the value of $%
{\bf x}$ would be possible as positive measures of players switched beliefs.
As we have seen the deterministic cycles of normal fictitious play are
possible even in the large population model, but only with extreme
restrictions on initial beliefs. Indeed, any perturbation to the
distribution of beliefs will change the dynamic behaviour substantially.%
\bigskip

Zeeman (1981) faced a similar problem in modelling mixed-strategy
evolutionary dynamics. We follow the same strategy of assuming that the
distributions we consider are subject to noise. For Zeeman, who was
considering a biological model this was caused by mutations. Here, we can
either assume that players make idiosyncratic, independently distributed
mistakes in updating their beliefs, or, in the spirit of purification (see
also Fudenberg and Kreps, 1993), we can imagine that each individual payoffs
are subject to idiosyncratic shocks. More formally, we imagine a once-off
shock of the form: 
\begin{equation}
\label{wv2}{\bf w}(t+\Delta t)={\bf w}(t)+\eta, 
\end{equation}
where $\eta $ is a vector of normally-distributed independent random
variables each with zero mean and finite variance. This would rule out the
possibility of mass points of agents holding exactly the same beliefs. For
example, in the two strategy case, if $p=-1$ for all agents, that is, they
all prefer their first strategy, with the addition of the noise, beliefs
would instead be normally distributed with mean -1. We can choose the
variance of $\eta $ sufficiently small such that the new distribution
approximates the old arbitrarily closely. Indeed, as Zeeman notes,
distributions which satisfy our conditions are open dense in the set of all
distributions. We state these conditions in more detail:\bigskip

{\bf Assumption of Continuity: }the distribution of beliefs is such that $%
F_i $ is absolutely continuous with respect to ${\bf p}_i$. There exist
continuously differentiable density functions $f_{ij}=f_{ji}=dF_i/dp_{ij}$
on ${\bf R}^{n-1}$ such that $f_{ij}>0$ everywhere on ${\bf R}^{n-1}$. 
\bigskip

The last inequality in turn implies that $x_i(t)>0\ \forall \ i,t$. However,
it is possible for the system to approach the boundary of the simplex
asymptotically. Consider the case where there is a single strictly dominant
strategy $i$. In the previous section, we saw that, without noise, within a
finite time only that strategy would be played. Here, the noise means that
some agents will always prefer other strategies, but over time the numbers
doing so will drop away to zero. The reason is that, from (\ref{wv}) and (%
\ref{wv2}), we have $E[p_{ij}(t+\Delta t)-p_{ij}(t)]<0\ \forall \ j\neq i$,
the strength of preference for the dominated strategies is always
decreasing. The result is that, $\lim _{t\rightarrow \infty }\Pr \left[
w_j+\eta _j>w_i+\eta _i\right] =0$. Hence, $\lim _{t\rightarrow \infty
}x_j=0 $ and $\lim _{t\rightarrow \infty }F({\bf 0})=1$. \bigskip

We are now going to take the continuous time limit. Returning to Figure 2,
in discrete time, all agents with beliefs in the interval $[0,\Gamma
^{-1}(0)]$ changed strategy. As we will see, moving to continuous time is
equivalent of taking the limit $\Gamma ^{-1}(0)\rightarrow 0$. That is, the
rate of change at any given point in time is going to depend on the number
of agents who are, at that instant, passing from preference of one strategy
to preference of another. In other words, the rate of change will be
proportional to the density of agents at the point of indifference, in
Figure 2, $f(0)$. Subtracting $x_i$ from both sides of (\ref{int}), 
\begin{equation}
\label{xtd}x_i(t+\Delta t)\ -x_i(t)\ =F_{it}(\ \Delta t[\ (A{\bf x)}_i-(A%
{\bf x)}_{j\neq i}]\ )-F_{it}({\bf 0}).
\end{equation}
Given the presence of a random disturbance in (\ref{wv2}), the reader may be
surprised to see none in the above formula. The errors, however, have been
subsumed in the distribution function $F_i$. Note that the right hand side
of (\ref{xtd}) can be approximated by $\Delta t\sum_{j\neq i}f_{ij}({\bf 0)}%
[(A{\bf x)}_i-(A{\bf x})_j]$, and that this approximation increases in
accuracy as $\Delta t$ and hence $\Gamma ^{-1}$ approach zero. Next, we
divide through by $\Delta t$ and take the limit $\Delta t\rightarrow 0$ to
obtain 
\begin{equation}
\label{xt}\dot x_i=\sum_{j\neq i}\ [(A{\bf x)}_i-(A{\bf x})_j]\ f_{ij}({\bf 0%
}).
\end{equation}
This also can be derived from $dF_i/dt=dF_i/d{\bf p}_i\cdot d{\bf p}_i/dt$.
The last term of the chain can be obtained from (\ref{gam1}) by subtracting $%
{\bf p}_i(t)$ from both sides, dividing by $\Delta t$, and taking the limit $%
\Delta \rightarrow 0$. It is also consistent with the theory of surface
integrals which scientists and engineers use to calculate the flow of fluid
(in this case, beliefs) across a surface. It will be useful to write (\ref
{xt}) in matrix form, 
\begin{equation}
\label{QAx}{\bf \dot x}=Q(F(t))A{\bf x.}
\end{equation}
(For the sake of simplicity, we will often suppress the extra arguments that
follow $Q$). Clearly, (\ref{xt}) is very close to the continuous-time
replicator dynamics (\ref{rep}) and the linear dynamics proposed by Friedman
(1991), 
\begin{equation}
\label{lin}\dot x_i\ =\frac 1n\sum_{j\neq i}[(A{\bf x})_i-(A{\bf x})_j]
\end{equation}
In particular, if the distribution of beliefs is symmetric, such that $%
f_{ij}=f_{ik},\ \forall \ j,k$, then the continuous time PFP is identical to
the linear dynamics. However, if the distribution is such that $f_{ij}=x_ix_j
$, then the replicator dynamics are reproduced. In any case, without placing
any restrictions on the shape of the distribution, we have the following
results

\begin{lemma}
\label{le:Q} \hfill \smallskip

\begin{enumerate}
\item  Every element of $Q$ is continuously differentiable in {\bf x},

\item  $\lim _{x_i\rightarrow 0}Q_{ij}=0\ \forall \ j$,

\item  $Q{\bf u}={\bf 0}$, where {\bf u} denotes the vector $(1,1,...,1)$,

\item  $Q$ is positive semi-definite. That is, if $A{\bf x}$ is not a
multiple of {\bf u} then $A{\bf x}\cdot QA{\bf x}>0$,

\item  $Q$ is symmetric.
\end{enumerate}
\end{lemma}

{\bf Proof:} $Q$ has a diagonal $Q_{ii}=\sum_{j\neq i}f_{ij}$ and
off-diagonal $Q_{ij}=Q_{ji}=-f_{ij}$. Satisfaction of Conditions 1 and 2 is
guaranteed by the Continuity Assumption. Hence at a vertex of $S_n$, $Q$
consists of zeros. Clearly $Q{\bf u}={\bf u\cdot }Q={\bf 0}$. However, ${\bf %
x}\cdot Q{\bf x}=\sum_{j\neq i}f_{ij}(x_i-x_j)^2\geq 0$. \hfill $\Box $%
\bigskip

Geometrically, the operator $Q$ maps the vector of payoffs $A{\bf x}$ from $%
{\bf R}^n$ to the subspace ${\bf R}_0^n=\{{\bf z}\in {\bf R}^n:{\bf u\cdot z}%
=0\}$ (if the vector $QA{\bf x}$ did not add to zero then ${\bf x}$ would
cease to add to one). It has nullspace ${\bf u}$. That is, at a mixed Nash
equilibrium where payoffs are equal ($A{\bf x}$ is a multiple of ${\bf u}$), 
$\dot {{\bf x}} ={\bf 0}$. For other Nash equilibria, if a strategy $j$ is
not in the support of {\bf q}, then at {\bf q}, $f_{ij}=0$. Because $Q$ is
positive definite the angle between $A{\bf x}$ and $QA{\bf x}$ is less than $%
90^{\circ }$. This last property is what Friedman (1991) calls ``weak
compatibility''.\bigskip

{\bf Definition:} Any dynamic of the form ${\bf \dot x}=QA{\bf x}$, where
the matrix $Q$, satisfies the above 5 conditions, we call a {\em positive
definite dynamic}.\bigskip

We can demonstrate that evolutionary concepts are important in the context
of population fictitious play. In particular, we can show that all ESSs are
asymptotically stable. First we need a preliminary result,

\begin{lemma}
\label{l:ess}Any ESS {\bf q} is negative definite with respect to the
strategies in its support. That is, $({\bf x-q})\cdot A({\bf x-q})<0$ for
all ${\bf x}$ with the same support as {\bf q} (see van Damme, 1991; Theorem
9.2.7).
\end{lemma}

The following lemma and proposition are based upon work of Hines (1980),
Hofbauer and Sigmund (1988) and Zeeman (1981). However, the result obtained
here generalises the above results and indeed extends beyond the continuous
time PFP process to any dynamics which are symmetric positive definite
transformations of the vector of payoffs $A{\bf x}$.

\begin{lemma}
\label{l:pos}If $A$ is negative definite when constrained to$\ {\bf R}_0^n$
(that is, ${\bf z}\cdot A{\bf z}<0\ \forall \ {\bf z}\in {\bf R}_0^n$), then 
$QA$ is a stable matrix (i.e. all its eigenvalues have negative real parts
when $QA$ is constrained to ${\bf R}_0^n$).
\end{lemma}

{\bf Proof:} The eigenvalue equation is $QA{\bf z}=\mu {\bf z}$ for some $%
{\bf z\in C}_0^n=\{{\bf z=z}_1+{\bf z}_2i\in {\bf C}^n:{\bf z}_1,{\bf z}%
_2\in {\bf R}_0^n\}$. We can construct a vector {\bf y} such that ${\bf z}=Q%
{\bf y}$, where ${\bf z}\in {\bf C}_0^n$. By the symmetry of $Q$, we have $%
{\bf y}^c\cdot Q={\bf z}^c$ where ${\bf z}^c$ is the conjugate of the
complex vector ${\bf z}$. This gives us 
\begin{equation}
\label{eig}{\bf y}^cQA{\bf z}={\bf z}^c\cdot A{\bf z}=\mu {\bf y}^c\cdot 
{\bf z}=\mu {\bf y}^c\cdot Q{\bf y} 
\end{equation}
As $Q$ is symmetric positive definite, ${\bf y}^c\cdot Q{\bf y}$ is real and
positive. The real part of ${\bf z}^c\cdot A{\bf z}$ is negative, hence the
real part of $\mu $ is negative. Since all its eigenvalues are negative or
have negative real part for eigenvectors in ${\bf R}_0^n$, $QA$ is a stable
matrix on that space. \hfill $\Box $ \bigskip

A strategy profile {\bf q} is a {\bf regular ESS} if it is an ESS that
satisfies the additional requirement that all strategies that are a best
reply to {\bf q} are in its support. We are now able to prove

\begin{proposition}
\label{pro:NE} All regular ESSs are asymptotically stable for any positive
definite dynamic.
\end{proposition}

{\bf Proof: } Let {\bf q} be a fully mixed ESS. Differentiating $Q({\bf x})A%
{\bf x}$ with respect to ${\bf x}$ and evaluating at {\bf q}, we obtain $Q(%
{\bf q})A+dQ/d{\bf x}\ A{\bf q}$. At a Nash equilibrium $QA{\bf x}={\bf 0}$.
It follows that for each $x_i$, $dQ/dx_i{\bf \ }A{\bf q}={\bf 0}$. Thus the
Jacobian of the system at ${\bf q}$ is given by $Q({\bf q})A$. By Lemma \ref
{l:pos} all its eigenvalues have real part negative.

If a regular ESS {\bf q} is on a face $S_q\subset S_n$, that is, $q_i>0$ if
and only if $i\in I_q$ $\subset I$, then it is also asymptotically stable
under the continuous time positive definite dynamic. Because it is an ESS, $%
A $ is a negative definite form on $S_q$, and so is $QA$ is stable on $S_q$.
It remains to show that the dynamic will approach $S_q$ from the interior of 
$S_n$.

We adapt the proof of Zeeman (1981). Define $\lambda ={\bf u\ q}\cdot A{\bf %
q-}A{\bf q}$. This is a vector whose $i$th element is zero for $i\in I_q$
and positive for $i\notin I_q$. Hence, we can define the function $\Lambda
=\lambda \cdot {\bf x}\geq 0$, with equality on $S_q$, and $\dot \Lambda
=\lambda \cdot QA{\bf x}$. We choose an $\epsilon $ such that for all {\bf x 
}in some neighbourhood of {\bf q}, ${\bf x=q+\xi }$ with $\mid \xi _i\mid
<\epsilon ,$ and $\mid Q_{ij}\mid <\epsilon $ for $i\notin I_q$ by
Conditions 1 and 2 of the definition of a positive definite dynamic. Then%
$$
\dot x_i=\sum_jQ_{ij}(A{\bf q})_j+\sum_{j,k}Q_{ij}A_{jk}\xi _k 
$$
Now, if $i\notin I_q$ then the first term of the above is of order $\epsilon 
$, the second is of the order $\epsilon ^2$. Thus, in the neighbourhood of 
{\bf q} we can approximate $\dot \Lambda $ by $\lambda \cdot Q\left( {\bf u\
q}\cdot A{\bf q}-\lambda \right) =-\lambda \cdot Q\lambda <0.$\hfill $\Box $ 
\bigskip

What is particularly attractive about this result is that to determine
stability one no longer has to examine the potentially complicated function $%
Q({\bf x})$. Instead, one can confine attention to the properties of $A$
alone. For example, for the PFP\ dynamics it is not necessary to know the
shape of the distribution of beliefs. The last two conditions on $Q$ are the
substantive ones. Positive definiteness seems a minimal condition to place
upon a dynamic. Nonetheless, it becomes a sufficient condition for stability
when combined with symmetry. Why this should lead to asymptotic stability
for ESSs can be seen in the traditional economic terms of convexity and
concavity. A ``positive definite'' dynamic is a gradient-climber. The
negative definiteness of ESSs of course implies concavity. Any positive
definite dynamic will move ``uphill'' toward the ESS. Condition 1 is the
necessary condition for a unique solution to the differential equation (\ref
{QAx}). Condition 2 ensures that the dynamic remains upon the simplex. Of
course, both the replicator dynamics and Friedman's linear dynamics satisfy
these conditions (the latter only on the interior of the simplex). \bigskip

The importance of symmetry can be illustrated by comparing positive
definiteness with the Friedman's (1991) concept of order compatibility or
the monotonicity of Nachbar (1990) and Samuelson and Zhang (1992).
Monotonicity requires that $\dot x_i/x_i>\dot x_j/x_j$ iff $(A{\bf x})_i>(A%
{\bf x})_j$, and order compatibility, $\dot x_i\ >\dot x_j\ $ iff $(A{\bf x}%
)_i>(A{\bf x})_j$. It is easy to check that if a dynamic can be written $%
{\bf \dot x}=Q({\bf x})A{\bf x}$ both monotonicity and order compatibility
imply the positive definiteness of $Q$ (as Friedman points out order
compatibility implies weak compatibility which is equivalent to positive
definiteness). However, monotonicity and order compatibility do not imply
symmetry. The existence of asymmetric order-compatible dynamics is what
enables Friedman (1991) to demonstrate that ESSs may be unstable under order
compatible dynamics. Similarly, there are dynamics which are monotonic but
which diverge from ESSs. Conversely, there are positive definite dynamics
which are not monotone or order compatible.\bigskip

In the case of only two strategies, for any such positive definite dynamic,
we have 
\begin{equation}
\label{con}\dot x_1=\ Q_{11}[(A{\bf x})_1-(A{\bf x})_2] 
\end{equation}
For $2\times 2$ games, the orbits produced by the positive definite dynamics
will, after a suitable rescaling, be identical.

\begin{proposition}
For $2\times 2$ games, all positive definite dynamics generate orbits which
are identical up to a change in velocity.
\end{proposition}

{\bf Proof:} Continuous dynamical systems are invariant under positive
transformations, which represent a change in velocity (see for example,
Hofbauer and Sigmund, 1988, p92). By positive definiteness $Q_{11}$ is
positive on the relevant state space. \hfill $\Box $

\section{Mixed Strategy Dynamics}

The replicator dynamics do not allow individuals the use of mixed
strategies. As van Damme (1991) notes it would be preferable to examine
mixed strategy dynamics which permit this possibility. The problem is that
they are less tractable than the replicator dynamics which they generalise.
In this section, we are able to show that they also fall within the class of
positive definite dynamics. Furthermore, we show that the aggregation of
gradient learning can be treated in a similar manner.\bigskip

Zeeman (1981, Section 5) examines the properties of the mixed-strategy
replicator dynamics (see also Hines, 1980). The main assumption is that
there is an infinite random-mixing (Story 3) population whose individuals
play mixed strategies. Thus each individual can be represented by a vector $%
{\bf y}\in S_n$. The population is summarised by a distribution $F$ on $S_n$%
. The mean strategy in the population is given by ${\bf x}=\int {\bf y}\ dF$
and the symmetric covariance matrix $Q_m=\int ({\bf x-y})({\bf x-y})\ dF$ ($%
m $ is for mixed-strategy dynamic). Zeeman worked only with distributions
that were {\em full}, that is, distributions for which $Q_m$ has maximal
rank amongst those populations having the same mean {\bf x}. As noted above,
Zeeman justified this restriction by appealing to mutations. Summarising his
results, we have

\begin{lemma}
If {\bf x} is in the interior of $S_n$ then ${\bf z}\cdot Q_m{\bf z}>0$ for
any {\bf z} which is not a multiple of {\bf u}. (Zeeman 1981, p265).
\end{lemma}

Assuming as for the pure strategy replicator dynamic that the proportional
growth rate of a strategy is equal to the difference between its and the
average payoff gives%
$$
\dot f({\bf y})=f({\bf y})[{\bf y}\cdot A{\bf x}-{\bf x\cdot }A{\bf x}] 
$$
and hence

\begin{lemma}
The dynamic for the mean mixed strategy satisfies ${\bf \dot x}=Q_mA{\bf x}$%
. (Zeeman 1981, p266).
\end{lemma}

We can find similar results for the type of learning dynamics considered by
Harley (1982), B\"orgers and Sarin (1993), Crawford (1989) and Roth and Erev
(1995). This may seem strange in that, first, B\"orgers and Sarin rightly
point out this learning process when aggregated across a population of
players is not identical to the replicator dynamics for either pure or mixed
strategies, and that, second, Crawford proves that in such a large
population, under such dynamics the mixed-strategy equilibrium of a simple
game like (\ref{g}) is unstable. However, Crawford's definition of a
mixed-strategy equilibrium is the state where every agent plays the
equilibrium mixed-strategy, that is, in game (\ref{g}), they all play their
first strategy with probability $a$. However, I would argue that in a
random-mixing population this definition is over-strict. It is possible to
have a state where the average strategy in the population, and hence, the
expected strategy of an opponent, is equal to the mixed strategy
equilibrium, although no agent plays the exact mixed strategy equilibrium
profile. For example, the $i$th member of the population could play her
first strategy with probability $a+\epsilon _i$ with $\sum \epsilon _i=0$.%
\bigskip

We assume, as for fictitious play, that each player has a vector ${\bf w}$,
each element representing the ``confidence'' placed on each strategy.
However, rather than choosing the strategy with the highest weight, each
player plays strategy $i$ with probability%
$$
y_i=\frac{w_i}{\sum_{i=1}^nw_i}=\frac{w_i}W. 
$$
Thus, here, in a similar way to the model of Zeeman, we can represent each
individual as a point ${\bf y}\in S_n$, distributed according to a function $%
F.$ However, here we have to take account of the magnitude of $W$, the sum
of an agent's weights. We assume that they are distributed on ${\bf R}$
according to a function $G$, and let $H$ be the joint distribution function
(incorporating $F$ and $G$) on $S_n\times {\bf R.}$ And again, in a large
random-mixing population, the probability of meeting an opponent playing
strategy $i$ will be $x_i$, where again we define the population mean as $%
{\bf x}=\int {\bf y}\ dF$. However, rather than strategy distributions being
changed according to an evolutionary process, each individual learns by
adjusting the probability that she plays each strategy in relation to the
payoff that the strategy earns. If a strategy is chosen, and playing that
strategy yields a positive payoff, then the probability of playing that
strategy is ``reinforced'' by the payoff earned. In particular, if an
individual plays strategy $i$ against an opponent playing strategy $j$, then
the $i$th element of {\bf w} is increased by the resulting payoff, again
scaled by the length of the period $\Delta t$,%
$$
w_i(t+\Delta t)=w_i(t)+\Delta t\,a_{ij}. 
$$
However, all other elements of {\bf w} remain unchanged. This is the ``Basic
Model'' of Roth and Erev (1995), who give a number of reasons why this may
be a reasonable approximation of human learning. Thus the expected change is
given by, 
\begin{equation}
\label{wg}E\left[ w_i(t+\Delta t)\right] =y_i\left( w_i(t)+\Delta t\,(A{\bf x%
})_i\right) +(1-y_i)w_i(t). 
\end{equation}
There are three important differences between this learning rule and
fictitious play. First, it is stochastic, not deterministic. Second, while
under fictitious play, agents have a limited capacity for assessing what
they might have received if they had used some other strategy, here agents
only consider what actions they actually play and what payoffs they actually
receive (this type of learning model was developed to analyse animal
behaviour). Third, for the probabilities to remain well defined, we must
require all payoffs to be non-negative\footnote{%
Either we consider only games with positive payoffs, or we add a positive
constant to all payoffs sufficiently large to make them positive. Clearly
such a transformation would make no difference to a game's strategic
properties, though, in a dynamic context it can change the rate of
adjustment. See the discussion of discrete time processes in the next
section.}, and that all agents start with all elements of their vector ${\bf %
w}$ strictly positive. From (\ref{wg}), we can obtain 
\begin{equation}
\label{eyd}E\left[ y_i(t+\Delta t)-y_i(t)\right] =\frac{\Delta t\,y_i\left(
(A{\bf x})_i-{\bf y}\cdot A{\bf x}\right) }{W+\Delta t\,{\bf y}\cdot A{\bf x}%
}. 
\end{equation}
This is a special case\footnote{%
The equation (\ref{eyd}) can be obtained by setting what Harley calls the
``memory factor'' to 1.} of the RPS rule of Harley(1982). Crawford (1989)
characterises individual behaviour in a large population of players by the
deterministic continuous time equation, 
\begin{equation}
\label{ey}\dot y_i=y_i[(A{\bf x})_i-{\bf y}\cdot A{\bf x}]. 
\end{equation}
B\"orgers and Sarin (1993) show that by using a slightly different
specification of the updating rule one can obtain a continuous time limit
similar to Crawford's equation (\ref{ey})\footnote{%
It would be the same if B\"orgers and Sarin considered as did Crawford a
single random-mixing population.}. The advantage of the approach of
B\"orgers and Sarin and Crawford is that learning behaviour is easier to
characterise, but only at the cost of additional assumptions. \bigskip

In any case, the next step is to derive an expression for the evolution of
the population mean. If we think of the change made by each agent as a draw
from the distribution that describes the population, $x_i(t+\Delta t)-x_i(t)$
is then the sample mean. Hence, the variance of the change in $x_i$ is
decreasing in the number of agents. Thus, if the population is infinite,
then the evolution of the population mean will be deterministic (the case of
a finite population will be dealt with in the next section). We have%
$$
\begin{array}{ll}
x_i(t+\Delta t)-x_i(t) & =\int E[y_i(t+\Delta t)-y_i(t)]\ dH \\ 
& =\int \Delta t\,y_i[(A 
{\bf x})_i-{\bf y}\cdot A{\bf x}]/(W+\Delta t\,{\bf y}\cdot A{\bf x)}\ dH \\
& =\int \Delta t\,y_i[{\bf e}_i-{\bf y}]/(W+\Delta t\,{\bf y}\cdot A{\bf x}%
)\ dH\cdot A{\bf x.} 
\end{array}
$$
where ${\bf e}_i$ is a vector of zeros except for a 1 in the $i$th position
and $W+{\bf y}\cdot A{\bf x}>0$ (by the assumption of non-negative payoffs).
We divide through by $\Delta t$ and take the continuous time limit. This in
turn gives us, 
\begin{equation}
\label{qgax}{\bf \dot x}=Q_gA{\bf x} 
\end{equation}
where the $g$-subscript is for gradient learning. The diagonal of $Q_g$ has
the form $\int y_i(1-y_i)/W\ \ dH$, the off-diagonal $-\int y_iy_j/W\ dH$.
Hence $Q_g$ is symmetric and $Q_g{\bf u=0}$. Clearly ${\bf z}\cdot Q_g{\bf z}%
=\sum_{i\neq j}\int y_iy_j/W\ dH\ (z_i-z_j)^2\geq 0$. Consequently $Q_g$ is
positive semi-definite. To obtain the model of either B\"orgers and Sarin
(1993) or Crawford(1989) it simply necessary to set $W\ =1$ for all agents.
Clearly this would not change the conclusion that although $Q_g\neq Q_m$,

\begin{proposition}
The mean of the mixed strategy replicator dynamic and the mean of the
gradient learning process are positive definite dynamics.
\end{proposition}

This, together with Proposition \ref{pro:NE}, extends the existing results
on gradient dynamics.\bigskip

{\bf An Example.} Take the game (\ref{g}), assume $a=.5$, that $F(y_1)=y_1^2$%
, and hence $x_1=2/3$. Under the mixed strategy replicator dynamics, we have 
$\dot f(y_1)=2y_1[1/9-y_1/3]$. That is, those agents playing the first
strategy with probability less than one third, and hence far from the
equilibrium strategy, are increasing in number. For the gradient dynamics,
we have $\dot y_1=-y_1(1-y_1)/(6W)$. In words, all agents are decreasing the
weight they place on their first strategy. This also demonstrates the
difference between the two dynamics. The evolutionary dynamic replaces
badly-performing agents by better performers\footnote{%
Though perhaps this type of dynamic could be reproduced in a population that
learns by imitation.}, under the gradient dynamics, all agents respond to
the situation by changing strategy. As Crawford (1989) discovered, the state
where all agents have $y_1=0.5$ is not going to be stable. In this example,
the agents who are currently playing the ``equilibrium'' mixed strategy ($%
y_1=0.5$) are respectively dying off and moving away from it. However, for
both dynamics we have $\dot x_1=Q_{11}\left[ 1/2-x_1\right] $, and hence the
mean strategy clearly approaches the equilibrium\footnote{%
Harley (1982, p624) reproduces two graphs of the results he obtained from
simulations of a similar game using his learning model. Two things are
apparent: the population mean approaches the mixed strategy equilibrium, the
strategy of individual players (typically) does not.}.

\section{Games without ESSs}

Since the concept of an ESS is a strong refinement on Nash equilibrium and
consequently there are many games which do not possess any equilibrium which
satisfies its conditions, one might wonder how positive definite dynamics
perform in these cases. For any constant-sum game for any ${\bf x} \in S_n$, 
${\bf x}\cdot A{\bf x}=v$, where $v$is the value of the game. It follows, if
the game has a fully mixed equilibrium ${\bf q}$, that $({\bf x-q)}\cdot A(%
{\bf x-q})=0$. From Proposition \ref{pro:NE} and in particular (\ref{eig})
we have that,

\begin{corollary}
The eigenvalues of the linearisation of any positive definite dynamic at a
fully mixed Nash equilibrium of a zero-sum game have zero real part.
\end{corollary}

This result unfortunately is of the ``anything can
happen" type. For the linear dynamics (\ref{lin}), because they
are linear, the Corollary implies that such an equilibrium must be a
neutrally stable centre (it is easy to check that $V=\frac 12({\bf x-q}%
)\cdot ({\bf x-q})$is a constant of motion in this case). For non-linear
dynamics the fact that their linearisations have zero eigenvalues may hide
asymptotic stability or instability.\bigskip

Secondly, there are games which possess equilibria which are positive
definite. It is an obvious corollary of Proposition \ref{pro:NE} that
positive definite dynamics diverge from such equilibria. This can prove
useful in terms of equilibrium selection. Unstable positive definite
equilibria can be rejected in favour of stable ESSs. This works well in
games with both ESSs and positive definite equilibria. 
\begin{equation}
\label{rsp}A=%
\begin{tabular}{|c|c|c|}\hline
 0 &  $a_1$ & $-b_1$ \\ \hline
$-b_2$ &  0 &  $a_2$ \\ \hline
$a_3$ & $-b_3$ &  0 \\ \hline
\end{tabular}
\ a_i,b_i>0,\ i=1,2,3
\end{equation}
But the game (\ref{rsp}) has a unique equilibrium which, for example, for $%
a_i=1,b_i=3,\ i=1,2,3$ is positive definite. Hence, no positive definite
dynamic can converge. This might seem problematic, but in fact it offers a
strong empirical prediction. For rational players under the full-information
assumptions of conventional game theory, for a game with a unique Nash
equilibrium it should not matter whether it is positive or negative
definite. However, we can conjecture that in a random-matching environment
under experimental conditions, the strategy frequencies of human subjects
would converge if, for example, $a_i=3$ and $b_i=1$ but not if $a_i=1$ and $%
b_i=3$. This conjecture we can make with a degree of confidence because so
many different specifications of adaptive learning are consistent with
positive definite dynamics.  Such divergence is not necessarily
``irrational'' or ``myopic''. Indeed, if $a_i=1,b_i=3,\ i=1,2,3$ average
payoffs are at a minimum at the mixed equilibrium. Divergence increases
average payoffs. \bigskip

The robustness of these results, however, does depend on the property of
positive or negative definiteness. For equilibria which are neither positive
neither negative definite, it is possible for stability properties to vary
according to the exact specification of the dynamics. Such equilibria can be
attractors or repellors. Using (\ref{rsp}) again as an example, the pure
strategy replicator dynamics converge iff $a_1a_2a_3>b_1b_2b_3$, the linear
dynamics iff $a_1+a_2+a_3>b_1+b_2+b_3$, while simulation suggests that the
PFP dynamics will converge to any equilibrium of the game which is not
positive definite.\bigskip\ 

We conclude this section with discussion of the extension of the above
results to discrete time and to asymmetric games. Consider a positive
definite dynamic such that 
\begin{equation}
\label{qaxd}{\bf x}(t+1)={\bf x}(t)+QA{\bf x,}
\end{equation}
where $Q$ again satisfies the five conditions outlined above. In this case,
pure strategies which are regular ESSs will be asymptotically stable, the
second part of the proof of Proposition \ref{pro:NE} applying equally well
in discrete time. The problem is, as always, with mixed strategies. From (%
\ref{qaxd}), the linearisation at a fully mixed fixed point ${\bf q}$ will
be 
\begin{equation}
\label{iqa}I+Q({\bf q})A.
\end{equation}
As we have shown, the eigenvalues of $QA$ are negative. If however, they are
too ``large'', the absolute values of the eigenvalues of $I+QA$ will be
greater than one. So it is possible for a discrete time positive definite
process to diverge from a mixed ESS. This is going to depend on the
magnitude of the change in strategy distribution made each period. In the
case of a pure strategy equilibrium, it must be true that $\parallel {\bf x-q%
}\parallel >\parallel QA{\bf x}\parallel $ otherwise the dynamic would jump
over the fixed point and out of the simplex. In contrast, unless the rate of
change is sufficiently slow, it is possible to shoot right past a
mixed-strategy equilibrium. Note that, for example, for the discrete time
replicator dynamics given in (\ref{rep}), the rate of adjustment is
decreasing in the constant $D$. Hence, stability of ESSs can be assured if $D
$ is sufficiently large. In the case of gradient learning, the rate of
change is decreasing over time as the size of individuals' weights ($W$ in
the notation of the last section) increases. Furthermore, in the case of
positive definite equilibria, where   $QA$ has positive eigenvalues, then
all the eigenvalues of the linearisation (\ref{iqa}) are clearly greater
than one and the equilibrium will most certainly be unstable.\bigskip

In the case of asymmetric games, it is well known that no mixed strategy
equilibria are ESSs. Furthermore, it is also well known that mixed strategy
equilibria are either saddles or centers for the replicator dynamics
(Hofbauer and Sigmund, 1988). It is easy to show that this result
generalises to all positive definite dynamics. In particular, let ${\bf x}$
give the strategy frequencies in the first population and ${\bf y}$ in the
second, and ${\bf \dot x}=QA{\bf y,}$ ${\bf \dot y}=PB{\bf x}$, where $Q$
and $P$ are positive definite matrices satisfying the conditions outlined
above. Then the argument outlined in Hofbauer and Sigmund (p142-3) goes
through unchanged.

\section{Conclusion}

There has been some debate as to whether the replicator dynamics, in spite
of their biological origins, can serve as a learning dynamic for human
populations. The results obtained here on one level give some support to the
skeptics. The aggregation of learning behaviour across a large population is
not in general identical to the replicator dynamics, in either their pure or
mixed strategy formulation. However, it is clear that all these dynamics,
whether of learning or evolution, share many of the same properties.%
\bigskip

This is valuable in that, as the literature on learning and evolution has
been growing at a significant rate over the past few years, there has been a
proliferation of different models and consequently different results. The
hope here is that we have obtained a result that is reasonably robust: ESSs
are asymptotically stable for many apparently different adaptive processes
when these processes are aggregated across a large random-mixing population.
An ESS is quite a strong refinement on Nash equilibrium. Furthermore, it has
been discredited in the eyes of some because it does not correspond exactly
to asymptotic stability under the pure strategy replicator dynamics
(Proposition 1). However, these are not the only dynamics of interest, and
for results on stability that are robust to different specifications, the
concept of ESS is the one that is relevant. In extending existing results on
fictitious play, gradient learning and mixed-strategy replicator dynamics,
it has been the negative definiteness of ESSs which has been essential.%
\bigskip

Researchers have begun to test the predictions of models of learning and
evolution by carrying out experiments. The results presented in this paper
may be relevant in several ways. First, they are in accordance with the
results reported by Friedman (1995), who reproduced in the laboratory the
anonymous random matching environment considered here. In what he terms
``Type 1 Games'', Friedman found convergence in average strategy to a mixed
ESS although most subjects tended to stick to a single pure strategy.
Second, Mookherjee and Sopher (1994), for example, attempt to determine
whether fictitious play or gradient type rules best describe the learning
behaviour of their subjects. As we have shown, the differences between these
two types of model, in a random-matching environment at least, are smaller
than previously thought. Our results would also point to a reason why Gale
et al. (1995), using the replicator dynamics, and Roth and Erev (1995),
using a gradient type learning process obtain similar results in trying to
simulate the behaviour of experimental subjects playing the ultimatum
bargaining game. Third, there has been some debate (Brown and Rosenthal,
1990; Binmore, Swierzbinski, and Proulx, 1994) about what constitutes
convergence to equilibrium in experimental games. What we show here is that
it may be foolish to expect more than convergence in the average strategy in
a population of players. Last, we offer further predictions to be tested.
Games which possess ESSs should converge. For games which possess positive
definite equilibria, our predictions are equally clear. Learning processes
should not converge to such equilibria.\bigskip

Finally, as we noted in Section 1, under fictitious play for some mixed
strategy equilibria there is convergence in beliefs without convergence in
play. In the random-mixing models considered here, the opposite is possible.
The distribution of strategies in the population matches exactly the
equilibrium strategy profile. However, individual agents play any mix over
the strategies in its support, including a single pure strategy. One might
say that none has ``learnt'' the mixed strategy equilibrium, but equally,
given the assumption of random matching none has an incentive to change
strategy.

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\end{document}
 
