Learning under Opponent Unawareness in Linear-Quadratic Stochastic Games

• URL: http://arxiv.org/abs/2608.08268v1
• Date: Sat, 08 Aug 2026 17:59:00 GMT
• Title: Learning under Opponent Unawareness in Linear-Quadratic Stochastic Games
• Abstract summary: We study learning in infinite-horizon, nonzero-sum linearquadratic games under a radically uncoupled information structure.<n>We prove that players' learning dynamics converge almost surely to the complete-information Nash equilibrium.<n> Numerical experiments validate the theoretical results and show that learning under limited information reduces profits under both low and high price stickiness.
• Score: 4.725204306025237
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: As firms increasingly deploy machine learning for strategic decision-making, understanding algorithmic interactions has become central to operations research and economics. This paper studies learning in infinite-horizon, nonzero-sum linear-quadratic stochastic games under a radically uncoupled information structure, where players are either unaware of opponents or strategically oblivious, observing only a common state and their own action history. Under this minimal information, we analyze an asynchronous decentralized learning process in which each player independently runs a single-agent $ε$-greedy iterated least-squares algorithm. We prove that, despite being unable to identify the system parameters, players' learning dynamics converge almost surely to the complete-information Nash equilibrium and characterize the convergence rate. We then apply the framework to a dynamic Cournot competition with sticky prices. Numerical experiments validate the theoretical results and show that learning under limited information reduces firm profits under both low and high price stickiness, while total surplus declines and market concentration increases when price stickiness is high. Publicly revealing aggregate market output substantially accelerates convergence and mitigates these welfare losses.

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