22/08/13

The Minority Game: an introductory guide | Implicit None

Implicit None
Esteban Moro's Blog on Complexity, Networks, Marketing, Simulation, and more

The Minority Game: an

introductory guide
Posted on August 31, 2004
Esteban Moro
Review article (24 pages), in Advances in Condensed Matter and Statistical Physics, E.
Korutcheva and R. Cuerno eds. (Nova Science Publishers, New York 2004). [pdf]
Abstract
The Minority Game is a simple model for the collective behavior of agents in an idealized
situation where they have to compete through adaptation for a finite resource. This review
summarizes the statistical mechanics community efforts to clear up and understand the
behavior of this model. Our emphasis is on trying to derive the underlying effective
equations which govern the dynamics of the original Minority Game, and on making an
interpretation of the results from the point of view of the statistical mechanics of disordered
systems.
Introduction
There are 1011 stars in the galaxy. That used to be a huge number.
But its only a hundred billion. Its less than the national deficit!
We used to call them astronomical numbers.
Now we should call them economical numbers.
Richard Feynman

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Cartoon of the Minority Gam e rules

During the last years, the statistical mechanics community has turned its attention to
problems in social, biological and economic sciences. This is due to the fact that in those
sciences, recent research has focused on the emergence of aggregates like economic
institutions, migrations, patterns of behavior, etc., as a result of the outcome of dynamical
interaction of many individual agent decisions [2, 42, 62, 55]. The differences of this
approach with traditional studies are twofold: firstly, the fact that collective recognizable
patterns are due to the interaction of many individuals. On the other hand, in the traditional
neoclassical picture, agents are assumed to be hyperrational and have infinite information
about other agents intentions. Under these circumstances, individuals jump directly into
the steady state. However individuals are far from being hyperrational and their behavior
often changes over time. Thus, new models consider explictly the dynamical approach
towards the steady state through evolution, adaptation and/or learning of individuals. The
dynamical nature of the problem poses new questions like whether individuals are able to
reach a steady state and under which circumstances this steady state is stable.
The problem is thus very appealing to statistical mechanics researchers, since it is the
study of many interacting degrees of freedom for which powerful tools and intuitions had
been developed. However, the dynamics of the system might not be relaxing and the
typical energy landscape in which steady states are identified with minima of a Lyapunov
function so that the dynamical process executes a march which terminates at the bottom
of one of the valleys could not be applicable. The situation is reminiscent of other areas at
the borderline of statistical mechanics like Neural Networks [1] where sometimes is not
possible to build up a Lyapunov function which the dynamics tend to minimize. In fact, as
we will see below there are strong analogies of the model considered here with that area of
research.
The model I consider here is called the Minority Game (MG) [12] which is the
mathematical formulation of El Farol Bar problem considered by Brian Arthur [3]. The idea
behind this problem is the study of how many individuals may reach a collective solution to
a problem under adaptation of each ones expectations about the future. As the models
mentioned before, the MG is a dynamical system of many interacting degrees of freedom.
However, the MG includes two new features which make it different: the first one is the
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The Minority Game: an introductory guide | Implicit None

minority rule, which makes a complete steady state in the community impossible. Thus,
dust is never settled since individuals keep changing and adapting in quest of a nonexisting equilibrium. The second ingredient is that the collectivity of individuals is
heterogeneous, since individuals have different ways to tackle available information about
the game and convert it into expectations about future. Effectively, the minority rule and
heterogeneity translate into mean-field interaction, frustration and quenched disorder in the
model, ideas which are somehow familiar to disordered systems in condensed matter [57,
61]. Actually, the MG is related to those systems and some of the techniques of
disordered systems can be applied to understand its behavior.
At this point, I hope the reader is convinced that the MG is an interesting problem from the
statistical mechanics point of view: is a complex dynamical disordered system which can
be understood with techniques from statistical physics. In fact, most of the research about
the MG problem has been done inside the physics community. However, the El Farol bar
problem originates in the economic literature, although it represents a fierce assault on the
conventions of standard economics. In this sense either the El Farol bar or the MG are
interesting from the economic and game theory point of view as well. My intention here is
to present the statistical mechanics approach to this problem and to explain how different
concepts of economists and game theory translate into physics terminology. This biased
review is the authors effort to explain to physicists what is known about the MG. I make no
attempt to be encyclopedic or chronologically historical.
Keep on reading: download the full article

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ONE THOUGHT ON THE MINORITY GAME: AN INTRODUCTORY GUIDE

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The Minority Game: an introductory guide | Implicit None

Anonymous
on July 28, 2012 at 9:10 pm said:

The direct meohtd by Gillespie is simple and nice and short. Most SSA
papers outline this meohtd. I would recommend the following:Gillespie DT
(1976). A General Method for Numerically Simulating the Stochastic
TimeEvolution of Coupled Chemical Reactions. Journal of Computational
Physics, 22, 403434.and Gillespie DT (2007). Stochastic Simulation of
Chemical Kinetics. Annual Review of PhysicalChemistry, 58, 3555.You
could also study someone elses code, e.g. my R package (GillespieSSA)
or the StochKit library (in C). If you are using MatLab it is also worth noting
that there is a tool box available that implements the SSA (dont remember
what it is called though).Hope this helps.

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