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Poster
Multi-Agent Reinforcement Learning via Double Averaging Primal-Dual Optimization
Hoi-To Wai · Zhuoran Yang · Zhaoran Wang · Mingyi Hong

Wed Dec 05 02:00 PM -- 04:00 PM (PST) @ Room 517 AB #161
in Wed Poster Session B »

Despite the success of single-agent reinforcement learning, multi-agent reinforcement learning (MARL) remains challenging due to complex interactions between agents. Motivated by decentralized applications such as sensor networks, swarm robotics, and power grids, we study policy evaluation in MARL, where agents with jointly observed state-action pairs and private local rewards collaborate to learn the value of a given policy.
In this paper, we propose a double averaging scheme, where each agent iteratively performs averaging over both space and time to incorporate neighboring gradient information and local reward information, respectively. We prove that the proposed algorithm converges to the optimal solution at a global geometric rate. In particular, such an algorithm is built upon a primal-dual reformulation of the mean squared Bellman error minimization problem, which gives rise to a decentralized convex-concave saddle-point problem. To the best of our knowledge, the proposed double averaging primal-dual optimization algorithm is the first to achieve fast finite-time convergence on decentralized convex-concave saddle-point problems.

Keywords: Convex Optimization · Multi-Agent RL

Author Information

Hoi-To Wai (The Chinese University of Hong Kong)
Zhuoran Yang (Princeton University)
Zhaoran Wang (Princeton, Phd student)
Mingyi Hong (University of Minnesota)

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