Finite-Sample Guarantees for Best-Response Learning Dynamics in Zero-Sum Matrix Games

We study best-response type learning dynamics for two player zero-sum matrix games. We consider two settings that are distinguished by the type of information that each player has about the game and their opponent's strategy. The first setting is the full information case, in which each player knows their own and the opponent's payoff matrices and observes the opponent's mixed strategy. The second setting is the minimal information case, where players do not observe the opponent's strategy and are not aware of either of the payoff matrices (instead they only observe their realized payoffs). For this setting, also known as the radically uncoupled case in the learning in games literature, we study a two-timescale learning dynamics that combine smoothed best-response type updates for strategy estimates with a TD-learning update to estimate a local payoff function. For these dynamics, without additional exploration, we provide polynomial-time finite-sample guarantees for convergence to an $\epsilon$-Nash equilibrium.

ICQ: A Quantization Scheme for Best-Arm Identification Over Bit-Constrained Channels

We study the problem of best-arm identification in a distributed variant of the multi-armed bandit setting, with a central learner and multiple agents. Each agent is associated with an arm of the bandit, generating stochastic rewards following an unknown distribution. Further, each agent can communicate the observed rewards with the learner over a bit-constrained channel. We propose a novel quantization scheme called Inflating Confidence for Quantization (ICQ) that can be applied to existing confidence-bound based learning algorithms such as Successive Elimination. We analyze the performance of ICQ applied to Successive Elimination and show that the overall algorithm, named ICQ-SE, has the order-optimal sample complexity as that of the (unquantized) SE algorithm. Moreover, it requires only an exponentially sparse frequency of communication between the learner and the agents, thus requiring considerably fewer bits than existing quantization schemes to successfully identify the best arm. We validate the performance improvement offered by ICQ with other quantization methods through numerical experiments.

Constrained Pure Exploration Multi-Armed Bandits with a Fixed Budget

We consider a constrained, pure exploration, stochastic multi-armed bandit formulation under a fixed budget. Each arm is associated with an unknown, possibly multi-dimensional distribution and is described by multiple attributes that are a function of this distribution. The aim is to optimize a particular attribute subject to user-defined constraints on the other attributes. This framework models applications such as financial portfolio optimization, where it is natural to perform risk-constrained maximization of mean return. We assume that the attributes can be estimated using samples from the arms' distributions and that these estimators satisfy suitable concentration inequalities. We propose an algorithm called \textsc{Constrained-SR} based on the Successive Rejects framework, which recommends an optimal arm and flags the instance as being feasible or infeasible. A key feature of this algorithm is that it is designed on the basis of an information theoretic lower bound for two-armed instances. We characterize an instance-dependent upper bound on the probability of error under \textsc{Constrained-SR}, that decays exponentially with respect to the budget. We further show that the associated decay rate is nearly optimal relative to an information theoretic lower bound in certain special cases.