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Learning stationary policies in infinite-horizon general-sum Markov games (MGs) remains a fundamental open problem in Multi-Agent Reinforcement Learning (MARL). While stationary strategies are preferred for their practicality, computing…
We motivate and propose a new model for non-cooperative Markov game which considers the interactions of risk-aware players. This model characterizes the time-consistent dynamic "risk" from both stochastic state transitions (inherent to the…
This paper studies an infinite horizon optimal control problem for discrete-time linear systems and quadratic criteria, both with random parameters which are independent and identically distributed with respect to time. A classical approach…
In this paper, we consider stochastic monotone Nash games where each player's strategy set is characterized by possibly a large number of explicit convex constraint inequalities. Notably, the functional constraints of each player may depend…
We construct an approximate public-signal correlated equilibrium for a nonzero-sum differential game in the class of stochastic strategies with memory. The construction is based on a solution of an auxiliary nonzero-sum continuous-time…
In stochastic Nash equilibrium problems (SNEPs), it is natural for players to be uncertain about their complex environments and have multi-dimensional unknown parameters in their models. Among various SNEPs, this paper focuses on locally…
We study generalized games with full row rank equality constraints and we provide a strikingly simple proof of strong monotonicity of the associated KKT operator. This allows us to show linear convergence to a variational equilibrium of the…
Stochastic dynamic teams and games are rich models for decentralized systems and challenging testing grounds for multi-agent learning. Previous work that guaranteed team optimality assumed stateless dynamics, or an explicit coordination…
We introduce Coarse Q-learning (CQL), a reinforcement-learning model for bandit problems with stochastically varying menus. Alternatives are exogenously partitioned into similarity classes, and feedback from sampled alternatives is pooled…
The computational study of equilibria involving constraints on players' strategies has been largely neglected. However, in real-world applications, players are usually subject to constraints ruling out the feasibility of some of their…
In this paper we study iterative procedures for stationary equilibria in games with large number of players. Most of learning algorithms for games with continuous action spaces are limited to strict contraction best reply maps in which the…
This paper considers a class of reinforcement-learning that belongs to the family of Learning Automata and provides a stochastic-stability analysis in strategic-form games. For this class of dynamics, convergence to pure Nash equilibria has…
We consider a class of smooth $N$-player noncooperative games, where player objectives are expectation-valued and potentially nonconvex. In such a setting, we consider the largely open question of efficiently computing a suitably defined…
In this paper, we consider constrained discounted stochastic games with a countably generated state space and norm continuous transition probability having a density function. We prove existence of approximate stationary equilibria and…
We study multi-agent reinforcement learning (MARL) in infinite-horizon discounted zero-sum Markov games. We focus on the practical but challenging setting of decentralized MARL, where agents make decisions without coordination by a…
A recent emerging trend in the literature on learning in games has been concerned with providing faster learning dynamics for correlated and coarse correlated equilibria in normal-form games. Much less is known about the significantly more…
This paper studies random reshuffling (RR)-based distributed Nash equilibrium seeking for noncooperative games. The game is motivated as a sample-average approximation of an underlying expected-value stochastic game, while the algorithmic…
Many real-world strategic games involve interactions between multiple players. We study a hierarchical multi-player game structure, where players with asymmetric roles can be separated into leaders and followers, a setting often referred to…
No-regret learning has a long history of being closely connected to game theory. Recent works have devised uncoupled no-regret learning dynamics that, when adopted by all the players in normal-form games, converge to various equilibrium…
In this paper, we investigate a distributed learning scheme for a broad class of stochastic optimization problems and games that arise in signal processing and wireless communications. The proposed algorithm relies on the method of matrix…