We exhibit and characterize an entire class of simple adaptive strategies.
in the repeated play of a game, having the Hannan-consistency properly: in
the long-run, the player is guaranteed an average payoff as large as the be
st-reply payoff to the empirical distribution of play of the other players:
i.e.. there is no "regret" Smooth fictitious play (Fudenberg and Levins [1
995. J. Econ. Dynam. Control 19, 1065-1090]) and regret-matching (Hart and
Mas-Colell [2000. Econometrica 68, 1127-1150]) are particular cases. The mo
tivation and application of the current paper corns from the study of proce
dures whose empirical distribution of play is, in the long run, ( almost) a
correlated equilibrium. For the analysis we first develop a generalization
of Blackwell's (1956. Pacific J. Math. 6. 1-8) approachability strategy fo
r games with Vector payoffs. (C) 2001 Academic Press.