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Fast Convergence of Regularized Learning in Games
Vasilis Syrgkanis · Alekh Agarwal · Haipeng Luo · Robert Schapire

Tue Dec 08 01:30 PM -- 02:30 PM (PST) @ Room 210 A
We show that natural classes of regularized learning algorithms with a form of recency bias achieve faster convergence rates to approximate efficiency and to coarse correlated equilibria in multiplayer normal form games. When each player in a game uses an algorithm from our class, their individual regret decays at $O(T^{-3/4})$, while the sum of utilities converges to an approximate optimum at $O(T^{-1})$--an improvement upon the worst case $O(T^{-1/2})$ rates. We show a black-box reduction for any algorithm in the class to achieve $\tilde{O}(T^{-1/2})$ rates against an adversary, while maintaining the faster rates against algorithms in the class. Our results extend those of Rakhlin and Shridharan~\cite{Rakhlin2013} and Daskalakis et al.~\cite{Daskalakis2014}, who only analyzed two-player zero-sum games for specific algorithms.

Author Information

Vasilis Syrgkanis (Microsoft Research)
Alekh Agarwal (Microsoft Research)
Haipeng Luo (Princeton University)
Robert Schapire (MIcrosoft Research)

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