Related papers: Taming Equilibrium Bias in Risk-Sensitive Multi-Ag…
Reinforcement Learning (RL) has gained substantial attention across diverse application domains and theoretical investigations. Existing literature on RL theory largely focuses on risk-neutral settings where the decision-maker learns to…
We study finite episodic Markov decision processes incorporating dynamic risk measures to capture risk sensitivity. To this end, we present two model-based algorithms applied to \emph{Lipschitz} dynamic risk measures, a wide range of risk…
Imitation learning algorithms can be used to learn a policy from expert demonstrations without access to a reward signal. However, most existing approaches are not applicable in multi-agent settings due to the existence of multiple (Nash)…
This paper studies a variant of two-player zero-sum matrix games, where, at each timestep, the row player selects row $i$, the column player selects column $j$, and the row player receives a noisy reward with expected value $A_{i,j}$, along…
We consider online no-regret learning in unknown games with bandit feedback, where each player can only observe its reward at each time -- determined by all players' current joint action -- rather than its gradient. We focus on the class of…
We study learning in a dynamically evolving environment modeled as a Markov game between a learner and a strategic opponent that can adapt to the learner's strategies. While most existing works in Markov games focus on external regret as…
Classical game-theoretic approaches for multi-agent systems in both the forward policy design problem and the inverse reward learning problem often make strong rationality assumptions: agents perfectly maximize expected utilities under…
In multi-agent reinforcement learning, the behaviors that agents learn in a single Markov Game (MG) are typically confined to the given agent number. Every single MG induced by varying the population may possess distinct optimal joint…
Understanding and predicting the behavior of large-scale multi-agents in games remains a fundamental challenge in multi-agent systems. This paper examines the role of heterogeneity in equilibrium formation by analyzing how smooth…
The literature on game-theoretic equilibrium finding predominantly focuses on single games or their repeated play. Nevertheless, numerous real-world scenarios feature playing a game sampled from a distribution of similar, but not identical…
Empirical game-theoretic analysis (EGTA) has recently been applied successfully to analyze the behavior of large numbers of competing traders in a continuous double auction market. Multiagent simulation methods like EGTA are useful for…
We consider model selection in stochastic bandit and reinforcement learning problems. Given a set of base learning algorithms, an effective model selection strategy adapts to the best learning algorithm in an online fashion. We show that by…
In this paper, we consider a distributed learning problem in a subnetwork zero-sum game, where agents are competing in different subnetworks. These agents are connected through time-varying graphs where each agent has its own cost function…
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…
While single-agent policy optimization in a fixed environment has attracted a lot of research attention recently in the reinforcement learning community, much less is known theoretically when there are multiple agents playing in a…
This paper considers risk-averse learning in convex games involving multiple agents that aim to minimize their individual risk of incurring significantly high costs. Specifically, the agents adopt the conditional value at risk (CVaR) as a…
We consider reinforcement learning (RL) in Markov Decision Processes in which an agent repeatedly interacts with an environment that is modeled by a controlled Markov process. At each time step $t$, it earns a reward, and also incurs a…
Reinforcement learning (RL) so far has limited real-world applications. One key challenge is that typical RL algorithms heavily rely on a reset mechanism to sample proper initial states; these reset mechanisms, in practice, are expensive to…
This paper investigates the challenge of learning in black-box games, where the underlying utility function is unknown to any of the agents. While there is an extensive body of literature on the theoretical analysis of algorithms for…
The optimized certainty equivalent (OCE) is a family of risk measures that cover important examples such as entropic risk, conditional value-at-risk and mean-variance models. In this paper, we propose a new episodic risk-sensitive…