Related papers: Hedging Algorithms and Repeated Matrix Games
Lane changes are complex safety and throughput critical driver actions. Most lane changing models deal with lane-changing maneuvers solely from the merging driver's standpoint and thus ignore driver interaction. To overcome this…
Recent techniques based on Mean Field Games (MFGs) allow the scalable analysis of multi-player games with many similar, rational agents. However, standard MFGs remain limited to homogeneous players that weakly influence each other, and…
Reinforcement learning (RL), a common tool in decision making, learns control policies from various experiences based on the associated cumulative return/rewards without treating them differently. Humans, on the contrary, often learn to…
We present a framework for hedging a portfolio of derivatives in the presence of market frictions such as transaction costs, market impact, liquidity constraints or risk limits using modern deep reinforcement machine learning methods. We…
Many strategic decision-making problems, such as environment design for warehouse robots, can be naturally formulated as bi-level reinforcement learning (RL), where a leader agent optimizes its objective while a follower solves a Markov…
The article provides a solution algorithm for the linear programming problem (LPP) with the latter being presented as an antagonistic matrix game so the game's further solution is based on the iterative method. The algorithm is presented as…
This paper begins with a study on the dual representations of risk and regret measures and their impact on modeling multistage decision making under uncertainty. A relationship between risk envelopes and regret envelopes is established by…
Gradient-based learning in multi-agent systems is difficult because the gradient derives from a first-order model which does not account for the interaction between agents' learning processes. LOLA (arXiv:1709.04326) accounts for this by…
Learning in multi-agent scenarios is a fruitful research direction, but current approaches still show scalability problems in multiple games with general reward settings and different opponent types. The Multi-Agent Reinforcement Learning…
This paper studies algorithmic decision-making under human's strategic behavior, where a decision maker uses an algorithm to make decisions about human agents, and the latter with information about the algorithm may exert effort…
We study neural networks as nonparametric estimation tools for the hedging of options. To this end, we design a network, named HedgeNet, that directly outputs a hedging strategy. This network is trained to minimise the hedging error instead…
Multi-agent reinforcement learning (MARL) is a prevalent learning paradigm for solving stochastic games. In most MARL studies, agents in a game are defined as teammates or enemies beforehand, and the relationships among the agents remain…
In recent years, Deep Reinforcement Learning (DRL) algorithms have achieved state-of-the-art performance in many challenging strategy games. Because these games have complicated rules, an action sampled from the full discrete action…
In the studies on symbol emergence and emergent communication in a population of agents, a computational model was employed in which agents participate in various language games. Among these, the Metropolis-Hastings naming game (MHNG)…
A common approach in the design of MapReduce algorithms is to minimize the number of rounds. Indeed, there are many examples in the literature of monolithic MapReduce algorithms, which are algorithms requiring just one or two rounds.…
In common-interest stochastic games all players receive an identical payoff. Players participating in such games must learn to coordinate with each other in order to receive the highest-possible value. A number of reinforcement learning…
This paper investigates a novel class of mean field games involving a major agent and numerous minor agents, where the agents' functionals are recursive with nonlinear backward stochastic differential equation (BSDE) representations. We…
Autocurricular training is an important sub-area of multi-agent reinforcement learning~(MARL) that allows multiple agents to learn emergent skills in an unsupervised co-evolving scheme. The robotics community has experimented autocurricular…
Progress in fields of machine learning and adversarial planning has benefited significantly from benchmark domains, from checkers and the classic UCI data sets to Go and Diplomacy. In sequential decision-making, agent evaluation has largely…
Momentum first-order optimization methods are the workhorses in various optimization tasks, e.g., in the training of deep neural networks. Recently, Lucas et al. (2019) proposed a method called Aggregated Heavy-Ball (AggHB) that uses…