2023/09/01 by Côme Fiegel, Fiegel, Côme, Pierre Ménard +9
Computer Science · Decision Sciences · #Advanced Bandit Algorithms Research #Computer Science and Game Theory (cs.GT) #FOS: Computer and information sciences #Machine Learning (cs.LG) #Machine Learning (stat.ML) #Machine Learning and Algorithms #Reinforcement Learning in Robotics
paper · pdf · doi:10.48550/arxiv.2309.00656
openalex publication_date 2023/09/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We study how to learn ε-optimal strategies in zero-sum imperfect information games (IIG) with trajectory feedback. In this setting, players update their policies sequentially based on their observations over a fixed number of episodes, denoted by T. Existing procedures suffer from high variance due to the use of importance sampling over sequences of actions (Steinberger et al., 2020; McAleer et al., 2022). To reduce this variance, we consider a fixed sampling approach, where players still update their policies over time, but with observations obtained through a given fixed sampling policy. Our approach is based on an adaptive Online Mirror Descent (OMD) algorithm that applies OMD locally to each information set, using individually decreasing learning rates and a regularized loss. We show that this approach guarantees a convergence rate of O(T-1/2) with high probability and has a near-optimal dependence on the game parameters when applied with the best theoretical choices of learning rates and sampling policies. To achieve these results, we generalize the notion of OMD stabilization, allowing for time-varying regularization with convex increments.