2019/09/18 by Pier Giuseppe Sessa, Sessa, Pier Giuseppe, Ilija Bogunovic +5 · 1 citation
Computer Science · Decision Sciences · #Advanced Bandit Algorithms Research #Computer Science and Game Theory (cs.GT) #FOS: Computer and information sciences #Gaussian Processes and Bayesian Inference #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Multiagent Systems (cs.MA) #Reinforcement Learning in Robotics
paper · pdf · doi:10.48550/arxiv.1909.08540
openalex publication_date 2019/09/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We consider the problem of learning to play a repeated multi-agent game with an unknown reward function. Single player online learning algorithms attain strong regret bounds when provided with full information feedback, which unfortunately is unavailable in many real-world scenarios. Bandit feedback alone, i.e., observing outcomes only for the selected action, yields substantially worse performance. In this paper, we consider a natural model where, besides a noisy measurement of the obtained reward, the player can also observe the opponents' actions. This feedback model, together with a regularity assumption on the reward function, allows us to exploit the correlations among different game outcomes by means of Gaussian processes (GPs). We propose a novel confidence-bound based bandit algorithm GP-MW, which utilizes the GP model for the reward function and runs a multiplicative weight (MW) method. We obtain novel kernel-dependent regret bounds that are comparable to the known bounds in the full information setting, while substantially improving upon the existing bandit results. We experimentally demonstrate the effectiveness of GP-MW in random matrix games, as well as real-world problems of traffic routing and movie recommendation. In our experiments, GP-MW consistently outperforms several baselines, while its performance is often comparable to methods that have access to full information feedback.